Are you talking about a OS X boot drive or just a shared data drive? I'm not sure NTFS or exFAT can even be used as a boot format for OS X.
I used exFAT for a data drive, but even then it had problems so I don't recommend it any more. I couldn't find any OS X nor Windows backup software that would recognize exFAT drives. Occasionally Windows would think the drive was corrupt and would not provide write access until a chkdsk was performed. Chkdsk would then find zero errors, and write access would be restored. This cycle happened about once a week for a few months and then mysteriously stopped.
If it's a boot drive, I'd format for HFS+ Journaled. Windows will have read access when you install the boot camp drivers. If you really need write access too you can install third party software.
If it's a data drive, I'd format for NTFS if Windows is your main OS or HFS+ Journaled if OS X is your main OS. The "other" OS will have read access and you can install third party software for write access.