Fat32 works in everything but is limited to file size below 4gb. Fat32 tend to run much slower when you indexing lots of files when compared to exFat or NTFS.
exFat works on most android 5.0 and up,windows and linux plus can support files sizes over 4gb.
NTFS works primarily on windows 2000 and up and only on newer Android devices if you enable it, linux also has some issues that make it annoying. File sizes above 4gb are supported, You have better recovery options and volume control with this as well.
So which one to use depends what your using it on, how many files your transferring and files size.