FAT32: Read and write support by OS X, boots Windows, afaik also good support by other OSes.
HFS+: Boots OS X (standard format), Windows access possible with third party software (which has got bad critics of AT users in the past).
NTFS: Boots Windows, reading access by OS X, writing support claimed by third party software.
UFS: Boots OS X, not supported by Windows (but by a variety of other OSes), third party software may be available.