Depends on what you're using it for.
Most drives come pre-formatted as NTFS or ExFAT. NTFS is for Windows. Don't even think of using it with a Mac (it's read only without purchasing extra software).
ExFAT is useful if this drive is going to be frequently moved between a Mac and a Windows computer for file sharing. Either will have read/write access with no special software required.
For the Mac, if it's an SSD, always use APFS. If it's a hard drive, you can use either APFS or Mac OS Extended. But with either type of drive, if you plan on installing an OS on it, then it must be APFS.