Short answer: it depends.
If the HDD you intend to use already has data on it that you want to keep don't reformat it.
If you want to be able to plug the HDD directly into a windows box and have it "just work" use a windows file system e.g. NTFS
If you want to be able to plug the HDD directly into a windows box and are prepared to install software on windows so it can be accessed, use ext4.
If you're only ever going to directly connect the HDD to a Pi (or other linux box) use ext4.
Linux can read/write most windows formats. Windows can only access its own without third party software being aded to it. Machines accessing the HDD over the network (e.g. via samba) don't know and don't care what the underlying filesystem is.
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