The easiest way to go is to use FAT32, though that's an older filesystem with limitations compared to modern filesystems.
If you use HFS+ (the native Mac filesystem) Windows won't recognize it out-of-the-box; likewise Mac has limited support for NTFS. Full support for either (HFS+ on WIndows or NTFS on Mac) is available through software available online. On Mac, you can also use a hack to enable full read and write for NTFS (http://hints.macworld.com/article.php?story=20090913140023382) though that procedure isn't the most user-friendly
Also, current Macs don't support USB 3.0 (they use Thunderbolt instead). The drive will work in a mac's 2.0 port, but will be restricted to slower USB 2.0 speeds.