Both Mac and PC now support four common file systems:
1/ FAT32 - The older, lesser Windows standard file system
2/ NTFS - Win NT, 2000, XP and Vista all default to this
3/ ext2/3 - Mac, Win and Linux all share this format
4/ HFS+ - this is the native Mac OS X format.
Here is how to do each one:
1/ FAT32 - [too many drawbacks]
2/ NTFS - This has been supported by Windows for a long time, and has just very, very recently become available in full read/write mode for Macs. See the following thread, by Paragon Software, advertising beta availability of their NTFS for Mac:
Paragon NTFS for Mac OS X Public Beta Testing - Mac-Forums.com
[...]
NTFS does have a more mature permissions model than FAT32 and is generally more secure. This option is better than the first one.
3/ ext2/3 - this is the standard Linux file system. Both Windows and Mac have installable file system drivers for it. For the Mac, see this:
Mac OS X Ext2 Filesystem | Download Mac OS X Ext2 Filesystem software for free at SourceForge.net
and for the PC, see this:
Ext2 IFS For Windows
ext2/3 is an extremely mature, fast and very well regarded file system. It supports pretty much the same full file permissions model that HFS+ does (both, after all, are *nix based file systems), making it a recommended solution. Both the Mac and PC drivers are free, so that is attractive too.
4/ HFS+. This is the Mac standard system. To enable this for the PC, you need to get MacDrive. This mature and well regarded piece of software adds seamless support for HFS+ to your PC. If you are willing to spend the money, it may be the best solution of all.