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I've just formatted by usb drive to vfat, as I heard that is best to use in both Linux and Windows? What do you think?

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It will work fine with some limitations.
Specifically, you cannot store files larger than 4GB.

If your flash drive is large enough, you could consider partitioning it.
If you do that, remember that Windows will only see the first partition,
So, make that the VFAT partition and then you can have whatever you want following it.
I usually make a Ubuntu bootable flash with 16GB drives that have a first VFAT partition with a Ubuntu bootable partition following it.

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Nowadays, modern linux distros can read/write to ntfs, but it can lead to a bit of a headache if the NTFS filesystem gets corrupted as the last time I tried it (6ish months ago), you could only fix by doing a chkdisk in windows.

vfat will "just work", but don't put any DVD ISOs on it, as it does have that pesky 4GB file size limitation.

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