A FAT32 formated (Windows) iPod will work on a Mac, but a Mac formatted iPod will not work on a Windows PC. I would suggest to leave it Windows formatted, then you can use it as an external drive for transferring files on basically any computer. Unless of course you have some specific reason for needing it to be Mac formatted
By the way, if you have anything on it right now, formatting it will wipe it clean, just so you know.
I went into Itunes and the prefrences and then to ipod and it says my windows formatted Ipod isnt connected but it is...I have the Ipod icon on my desktop with the name of my ipod underneath the ipod picture....WTF?