Originally posted by sundialsvcs
Think carefully about your configuration... and write down "which operating system needs to have access to what." Be explicit and detailed. Look for any conflicts. This will tell you which FS you may use.
As far as Windows filesystems go, NTFS is clearly-preferable to FAT32. Linux support for it is limited (as we write this... no doubt very soon to change), but that may not even be an issue for you.
You may want to do a web search for "linux ntfs" - you will find a link to the Linux NTFS project. AFAIK, the current NTFS drivers support R/W to NTFS.
Likewise (again AFAIK), the latest Knoppix distro's (3.9/4.0 as of this writing) support writing to NTFS.
Additionally, most current distro's support reading and writing to USB devices (like thumb-drives, etc.) so that's another way to do it.
As for me, I very very seldom have to move stuff from Linux to Windows, however I often move things the other way - setting up my wireless cards using driverloader, for example - so one of the very first things I install when I do a linux install is the NTFS support.
Since I often set up dual boot systems - currently I do W2k or WXP and Fedora-2 - it's convienant for me to be able to do things like this.