if i create a data dvd in windows, using nero, with some dmg files on it, can mac os x then read that rewritable dvd, or do i have to somehow set nero to write in hfs (if that is possible)?
No, you shouldn't need to do anything special; OSX reads all common CD/DVD formats that I'm aware of. It can also read NTFS and FAT filesystems.
Not sure about Live File System or whatever the "keep open for appending" format Windows uses is called; that may or may not be readable on OSX--never tried it.
Edit: Whoops, dynamicv beat me to it. Sorry for the redundancy.