Be aware that which format you should choose for your drive varies depending on what you plan to use it for.
If you plan to use it as a Time Machine backup drive, you need to format it as HFS+ (Journaled). However, you won't be able to use this on a Windows machine without installing extra commercial software on it.
If you plan to use it as a drive that will be accessed by both Macs and non-Macs, you have two options:
1) Format it as FAT32. FAT32 is readable by virtually every computer and digital device in existence today. However, FAT32 can only handle files smaller than 4GB; if you try to put something larger on there, the copy will fail. So if you want to put really large files on your drive (big video files, for example), this won't a good option.
2) Leave it in NTFS format, and install this:
http://www.tuxera.com/community/ntfs-3g-download. NTFS-3G adds NTFS write capability to OS X so that you can use it just as you would a FAT32 drive. Note that there is also a commercial version available from Tuxera that is faster, but for the average user the free version should be sufficient.
EDIT: more info on options for add NTFS write support to OS X can be found here:
http://ntfsonmac.com/