You can do this in a variety of ways. Both systems have support for FAT32, however this is not a very efficient system to use really. But lets cover this first as it is the easiest method... You can either, format the disk in Windows as FAT32, or format the disk using the commandline diskutil in Mac OS X as MS-DOS which is also FAT32 IIRC. Windows should be like formatting a standard disk, just make sure you choose FAT32 and not NTFS. Since I don't have a windows machine in front of me right now I am not gonna try this walkthrough, let me know if you actually need it, it should be pretty simple. If you prefer to use Mac OS X for the formatting do the following:
|Open up Disk Utility.(Located in Applications/Utilities) Select your drive you want to format Press the Info button that is up top Look for the Disk Identifier, write this down, you will need it in a moment. Open up a Terminal window.(Located in Applications/Utilities) Type the following...
sudo diskutil eraseVolume MS-DOS <NAME> /dev/<IDENTIFIER>
This should reformat the volume for you. If this does not work, post up any messages you see in the Terminal window surrounded by CODE tags (Like QUOTE tags but keep preformatting).
<NAME> is replaced with whatever you want the drive to be named
<IDENTIFIER> is replaced with the Identifier you got earlier from Disk Utility
Now the other more complicated(Slightly) option is to use ntfs-3g on OS X. Should work fine, but I haven't used it myself in a while on OS X. It is very common on Linux. The advantage of this route is it allows you to use NTFS formatting, which while still kinda crappy, is much better than FAT32. To do this you will need to download and install MacFUSE... http://code.google.com/p/macfuse/
And ntfs-3g http://www.ntfs-3g.org/
Installing both of these on OS X should allow you to read and write to NTFS devices. I would use Windows to format the drive as NTFS at this point, especially since I can't remember the command to do so using NTFS-3G if it exists off the top of my head to write any sort of basic walkthrough on it. As a random side note, MacFUSE is a great project and there are lots of filesystems out there for it. While I don't recommend installing things at random, it is worth it to take a look around to see what is or is not supported. Seablade