Linux can read NTFS, there is also experimental (ie, "good luck with that") write support, but as far as I know, even that can only write into existing files rather than create new ones.
If you're sharing it on a network of course it doesn't matter.
If you only need to share it between YOUR penguin and YOUR Winbox, then you can install the Ext2 drivers for windows and format the drive to Ext2 or Ext3, which would be the best of all choices. Not got much personal experience of the windows e2fs driver, but my bro swears by it (he hates fat32 for some reason so he re-formats all his externals to ext3).
His bullet proof solution......
Make a 5MB Fat32 partition, put the driver installer in there, then format the rest as one big ext3 partition. That way any winbox can access it as it comes with it's own drivers.
AND you can do it all for free with cfdisk and mkdosfs and mke2fs (check the options to reduce or disable the reserved space, by default it reserves a little space in case root ever needs to write to the drive in the event of a full filesystem, as this is a data drive, it's not really needed, or can be set to stupid values like 0.01)