The most compatible option is FAT32, but as we mentioned above it has a hard 4GB limit on file sizes. However, Linux supports NTFS, which makes for a decent go-between if you have both Windows and Linux machines. Linux has its own proprietary EXT formats and if you are only going to use your external drive with a Linux machine, you can safely go ahead and pick that format.
Linux distributions such as Ubuntu Linux are becoming more popular by the day, but are still relatively niche overall.