Before you can use a hard drive, it needs to be formatted, which organizes the data structure on the drive ready to accept data. In addition, a drive can be partitioned into two or more logical volumes, or it can be left as a single volume (one partition) which would be the default. When you purchase an internal hard drive, it is usually not formatted. A new external hard drive may come pre-formatted (but it may not be in the format that you want for your machine). For Mac OSX users, a new external drive may appear on the desktop right away if it is pre-formatted for Windows, but it would be advisable to reformat it for Mac before using it.
Formatting or partitioning a drive will erase all of the information on it. If you have a drive with multiple partitions, reformatting just the one partition will not affect the others. Repartitioning the drive however will destroy all partitions and their contents, unless you have a program that can do soft partition resizing.
If you are going to be using the drive exclusively with Windows, choose NTFS as the formatting type. (NTFS can be read but cannot be written to by Mac OSX).
If you are going to be using the drive exclusively with Mac, choose Mac OS Extended (HFS+) as the formatting type. If the drive is to boot an Intel Mac machine, go into Partition Options and choose GUID as the partition type. (HFS+ cannot be read or written by Windows)
If you are going to be using the drive between Mac and Windows machines, choose FAT-32 (MS-DOS in the Apple Disk Utility) as the formatting type. One option is to partition a hard drive in Mac OSX and format the first partition to HFS+, then the second partition to MS-DOS (FAT-32) for shared data. Note that Microsoft wants you to use NTFS and in Windows limits the formatting of FAT-32 drives to 32 GB. There is no limit on the OSX Disk Utility however, and larger volumes formatted FAT-32 with OSX will work on Windows machines.
http://thelightroomlab.com/2009/01/formatting-an-external-hard-drive/
XP: http://www.microsoft.com/windowsxp/using/setup/tips/advanced/ntfs.mspx
Vista: http://windows.microsoft.com/en-US/windows-vista/Create-and-format-a-hard-disk-partition
Win 7: http://windows.microsoft.com/en-US/windows7/Formatting-disks-and-drives-frequently-asked-questions
OSX: http://support.apple.com/kb/HT3509
If you want to read and write an NTFS formatted hard drive on a Mac without reformatting it, you can install some NTFS drivers for Mac
http://macntfs-3g.blogspot.com/