There's no such thing as a hard drive just for macs either. Macs do have their own format for hard drives and whatnot, but you can format any hard drive for use with a mac. What's more, a mac can read windows formatted disks just fine, which is why the thumb drives present no problem.
for moving files from one system to another though you'll want it formatted to FAT32 which can be read and written to by both OS X and Windows. OS X can read NTFS (Windows formatting), but cannot write.
My Kingston flash is formatted Fat 32 and works fine with either system. Someone in our local Mac user group who is somewhat of a gadgetphile said not to bother renaming the drive. She said leaving the name it is given when it first shows up on the desktop is a good idea if you're switching between OSs.