This drove me crazy for so many years, but I haven't had the issue in a while (since switching to linux and apple) I forgot it was still a problem for the rest of us
And I actually find this problem even worse between Linux and macOS than between Windows and either of the two. Until quite recently, there was no meaningful common denominator between those two for USB drives.
I thought exfat was ~universal and decent?
Edit: Also UDF, thanks to https://news.ycombinator.com/item?id=41265870 for reminding me
Also, many embedded devices used to not support exFAT, which was annoying when reusing a flash drive to e.g. quickly show some photos on a TV with a USB port without reformatting them from "computer to computer use" to "computer to embedded use".