To final this topic up;
Use the NTFS filesystem -> If you need to use lots of data on Windows only.
Use the exFAT filesystem -> If you need your flash drive for both Windows and Mac.
Use the FAT32 filesystem -> If you still rock Windows ME/2000 or earlier and don`t care about the 4GB limitation.
Use the FAT16 filesystem -> If you hate everything about life and want to suffer.
NTFS is the most recent file system brought by Microsoft, which is being used on Windows only.
exFAT is a mix from both NTFS and FAT32, its Mac and Windows friendly while having no 4GB limit.
FAT32 has got good compatibility with older operating systems for people still preferring Windows 98.
FAT16 I am not aware for any advantages to use this ancient filesystem.