FAT32 would work best BUT you will be limited to files less than 4gb in size (only an issue if you are using the drive for other things)
NTFS may work as well, without the file size limit.
exfat is probably too new for this application to be supported by the car.
Past: 2001 330i ZSP/ZPP/Step
Past: 2004 S60R 6MT Sport
Past: 2007 335i 6MT ZSP/ZCW/322/655
Past: 2010 335xi ZMP/ZCW/ZPP/PPK/PE
Present: 2013 335i 6MT ZMM/ZDH/ZTP/3AG/494/508
Current Homeland Threat Level: