Format it to FAT32. You'll need to use command line tools on Windows as the GUI will insist on exFAT. On a Mac Disk Utility will format it ok but watch the default partition options.

The partition scheme has to be the old Master Boot Record type and only one partition is supported. It should auto mount.

You can also use btrfs and ext4 but those aren't compatible with Windows or Macs and it won't auto mount.