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I can set the file format in Windows 7 to NTFS or exFAT. Works with any USB key bought in the last few years.

Windows XP had no problems reading NTFS.

Mac OS and Linux cannot write to NTFS without 3rd party software.

NTFS-3G in at least Ubuntu derived distros work just as well as native file systems and comes in ready to use state, e.g. I didn't have to configure anything to read and write to my various partitions formatted in NTFS.

I'm not sure what you mean by "3rd party software" with respect to Linux.

If you mean "not made by the Linux kernel or GNU projects", that applies to much (most?) of the software available for Linux.

If you mean "proprietary", then NTFS-3G is GPL: http://www.tuxera.com/community/open-source-ntfs-3g/

Yes, but drivers for common filesystems usually reside in the kernel, including the read-only NTFS implementation.

Fair enough. But in this case, the userland drivers are easy to install (if they're not a default part of your distro of choice) and work without a hitch, at least in my experience.

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