I use exFAT for removable media, unless compatibility with non-Windows or pre-XP Windows OSes is important. In these cases I use FAT32, because damn near everything can read FAT32.
Originally Posted by TheGrayNobleman
From my understanding NTFS is the fastest.
What do you mean by secure? If you want to protect your files you can put all of your stuff in a TrueCrypt container and have a portable version of TrueCrypt on the flash drive so you can access the files anywhere.
NTFS is actually the slowest in many cases.
FAT32 and exFAT have much lower overhead, though they have fewer features than NTFS and are a bit more prone to data corruption. FAT32 also has an annoying 4GiB file size limitation and occasional issues with very large volumes.
I use NTFS for my Windows, programs, and data/backup drives because data integrity is more important than low overhead.
I use exFAT for my (3TB) video recording array because it only holds temporary RAW avis, offers the lowest overhead, and fastest sequential write speeds in my testing.