If you want the drive to work automagically, and you want it to work well, and at full speed - then you erase the hard drive and format it as a Mac drive.
If you want it to work on both OS X and Windows, then you format it fat32, and put up with performance and file size limitations.
If you want good read/write performance on both platforms, then you get to pay for the license for a decent NTFS driver. The fact that you don't get that good choice for free is on Microsoft, as they keep the real NTFS to themselves.