The main advantage of exFAT is that it support files bigger than 4 GB. If you aren't going to save files bigger than 4 GB, you can use FAT32 if you want.
Note that if you want to use exFAT, you have to format the external drive in Windows. If not, Windows won't detect the external disk. If you want to use FAT32, you can format it in Mac OS X
The best thing is to format the drive NTFS or OS X, then get third-party software to enable compatibility. For example you can use NTFS for Mac 10.0.2 or Tuxera NTFS 2012.3.6 to enable write capability to an NTFS formatted drive from OS X. From Windows you could use MediaFour's MacDrive software that enables Windows to read and write an OS X formatted drive.
NTFS maintains the highest level of compatibility when moving files back and forth.