Does that mean I can copy and paste a Windows file to my Mac desktop and then copy that into my Windows VM?
Windows can read and write to HFS+ volumes, but you'll need to download and install some software to gain that capability. I did it a few years ago, and I believe it was free. Google around and you should be able to find it pretty easily.
Alternately, you can download and install some software on your Mac (some available options are free) which will give you the ability to write to NTFS volumes. See
simsaladimbamba's post for more details.
Whether to go with NTFS or HFS+ is up to you. For practical purposes, I'd search and find out which software is cheaper and more easy to obtain. If you can easily find the HFS+ extensions for Windows, then go with an HFS+ volume. If you have trouble with that but can easily find NTFS extensions for Mac OS X, then make it a NTFS drive. If cost doesn't matter and you could buy software for either side, then format it according to which system it will be used with most (if you'll mostly be using it with Macs, HFS+; if with Windows, NTFS).
One final note: all modern Macs can
read NTFS volumes, but special software is needed to be able to
write to them. On the other hand, Windows systems can't even read HFS volumes; they need special software to read and write to them. If you'll be using this volume with Windows computers that don't belong to you, NTFS is the safer option.