If you purchase an external USB drive that comes unformatted and you want to use that drive across a PC and a MAC, you really want to format as FAT32. But on Windows, it defaults to either NTFS or exFAT, which AFAIK are not supported for read/write natively on MacOSX.
Western Digital provides a utility that lets you format FAT32 at the full size of the drive called WD FAT32 Formatter (extfat32.exe). Trouble is, it doesn't seem to work on 64-bit (x64) Windows. In my case, I just used my old x86 laptop and it worked like a charm.