Just wanted to add to this that formatting also has an impact on newer Mac systems if you are using SSDs. APFS is preferred over Mac OS Extended (Journaled) and I can attest that it does affect the speed of the drives. Had an SSD formatted as OS Extended giving USB2.0 speeds, reformatted to APFS and shot right back up to expected TB3 speeds. 

Andi

A Mac will also support an exFAT drive as an external SSD drive. So does Windows. And the exFAT drive runs at USB3 speed, not USB2. Otherwise APFS for the Mac is the better route. This is the one drive that Windows does not support.

Whenever someone wants a drive formatted as exFAT it's what they use to copy all documents, pictures, etc. from a Windows system to a Mac.

I'd be very wary of using exFAT for critical data. I've had multiple exFAT drives corrupt for things as simple as not ejecting the disk correctly. Once it's corrupt it's a helluva pain to fix it. If it's just to quickly transfer some simple files from Mac to Windows then fine, but I would never format a media RAID, for example, as exFAT. 

My rule of thumb for exFAT drives is do not format exFAT on a Windows system if you want it to reliably work on a Mac. 

For smaller files, my Macbook and PC are networked together which works fine and I have found Paragon APFS for Windows to be a hassle free way of mounting and using Mac formatted disks on a PC. 

Andi

I agree. ExFAT is a dangerous choice. No journaling so data corruption is very likely when ejecting not correctly.