rahmu wrotentfs-3g works like a charm. I don't know if you can use it on Mac, but it works great with Linux. If you can install it on Mac, give it a try. NTFS isn't the worst solution after all.
yep you can go either way either get a commercial ext driver for windows or a supported commercial ntfs driver for linux. bsd/osx is a different story.
@Mir,
if you want to be really geeky just use NTFS on the usb disk and install virtualbox/parallels/vmware fusion on your osx, run a virtual machine with windows xp and use create a a share that you can mount on your osx with smbclient/cifs client or run ftp server or whatever..
just a geeky thought...
native is always the best
BTW; even thou M$crosoft has created NTFS, it is actually a good filesystem. it is well design and implemented.