FAT32 is compatible with seemingly everything, PS3, TVs, Linux, windows but has a File size limit of 4GB.
NTFS came after FAT32 and is what Windows is built on now, not compatible with PS3 or TVs (looping if greater than 4GB on some TVs anyway) No real File size limit.
exFAT (newish) is compatible with Linux, Macs now, PS3 sooner or later, some TVs brand on board and no real file size limit.
So is exFat the one to go for?
Personally I'd go with fat32 if you're moving the external hard drive between a variety of different devices.
I'd go with FAT32 tbh, you could always throw a copy of HJsplit into the drive root for any files over 4GB.
If you anticipate having a lot of large files (e.g. HD films) but want to watch them on your PS3, I'd look into either getting an external hard drive that can function as a NAS (files are streamed across a network so format is irrelevant) or a NTFS/exFAT multimedia hard drive that supports MPEG-4/x.264 and the mkv files. It wont work with your PS3 but just swap over the HDMI cable and you'll be fine
NTFS FAT32 corrupts and it doesnt support files over 4gigs, most systems can read NTFS volumes now.