Mips is quite correct - the HFS+ (probably journaled) filesystem is the problem. And exFAT will solve the issue, however my tuppence would be for using NTFS as the filesystem and just installing the 3g driver in OSX. NTFS is far better supported than exFAT.
Either way you've got a microsoft filesystem, but I find NTFS to be the best filesystem for sharing cross platform because everything supports it, or support can be added very easily. Especially if you want to use ubuntu or other Linux - NTFS-3g is far more stable and tested than the fuse-exfat package.
It is of course personal choice - if you've already re formated and copied your data over, there's not much point in doing it again as exFAT support is growing quickly now we're constantly pushing the 4GB limit of FAT32.
The main thing to remember is if you are using anything in addition to MAC, I usually find it's best to have removable media not formatted in HFS+ as support is simply terible. The other thing to wtch out for is the journalling - this is definitely needed for OS X system partitions, but not recommended for filesystems where you may want to access from a different system as the journalling further reduces support.
If you haven't already added NTFS support to your mac, there's a trusted cnet download
here
Hope it helps!
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