Generally, FAT32 is recommended for speed and ease of use, if individual files are under 4GB in size. EXT2 or EXT3 (mounted as EXT2) are recommend when individual files are over 4GB.
Here's the foreign filesystems that can be mounted through mount(8):
EXT:
You can mount EXT2. You can mount EXT3, but the EXT3 journal will not be used -- it will be treated like EXT2. EXT4 read only and w/o the 64bit option.
FAT:
FAT12, FAT16, and FAT32 are all fully supported, with the access control ownership set through the mount point or per the -u option of mount_msdos(8).
NTFS:
Can be mounted read only. See ntfs_3g below.
Here are two additional foreign filesystems that can be mounted through third party packages. These are slow, due to using Filesystem in USErland ("FUSE"), but provide additional options:
ntfs_3g: This package provides NTFS read/write mounts.
exfat-fuse: This package provides exFAT read/write mounts.