Windows cannot read/write HFS without purchasing extra software. OS X cannot write NTFS. FAT32 does have some problems though. All files must be smaller than 4GB minus 1 byte. OS X apps do not always run properly from FAT32.
Mac can read NTFS, but not write; it can read and write FAT32, but there are size and permission limitations (as mentioned above). Windows can read and write HFS+, but only with a utility such as MacDrive (not free). Also OS X cannot boot from FAT16/32, only from UFC or HFS+.