the biggest issue i had with exfat was with the constant spotlight indexing killing my battery life. i like to keep my code repository on an external, so i would work off of it and keep it plugged in most of the day. i'm not sure if it was corrected but for some reason my mba would use a ton of resources trying to index the drive, and my battery life dropped by half. otherwise its great, universal compatibility, and can handle large file sizes!
Quite a few NTFS drivers have that problem but I never experienced it with exFAT.
I would add to this thread that Windows can see the HFS Mac partition once all bootcamp drivers are installed (which you really should install as a few things only work properly with them like keyboard backlight). It cannot write to the partition but read it just fine.
Same goes for the Windows partition in reverse you can see and read it but not write to it. I think Apple never supplied write capabilities on either side because that means only people that usually don't call their phone support get write capability though 3rd party software can mess with stuff.
It isn't hard to add write capability but then adding the proper xrw privileges with out errors, which is the most basic security layer for any OS, is something, they apparently weren't upto.
exFAT is fine for external use. It is low overhead and very simple. It is very easy to repair for things like disk utility. For the data like movies, music, documents it is perfectly fine. You wouldn't want to run a database on top of it.
All the problems that should occur are fixed by copying a file to it again if the process didn't complete, or repair the file system in Disk Utility.
All that being said exFAT has one quite substantial problem in my opinion. It is often not compatible with TVs, Settopboxes and so on. exFAT is owned by Microsoft and must be licensed. Only Apple seemed to care for it. NTFS is ubiquitous on the other hand and is read from virtually any device.
That is the main reason I go for NTFS on external drives, because I want to attach them to more than just my own notebook. The paragon driver is the best btw. NTFS 3G is really bad also with the indexing bug, Tuxera is okay but more troublesome than paragon. I got Tuxera now but after I spent the money I didn't want to go back. Paragon I only tried out but it had less problems. Speedwise it is the same.