Make sure you read this other current thread:
Using a filesystem with journaling disabled is not a great idea, so I would consider HFS+ to not be supported by the WD TV units (or Linux in general) at this point in time. FAT32 is inadequate for video files. exFAT is a proprietary, patent-pending Microsoft filesystem, so Linux support is always going to be problematic (it is also optimized for flash drives rather than harddrives, I believe).
The filesystem with broadest support at this time is, frankly, NTFS. However, Mac OS X has the most limited native support, and you will have to do some work to enable write capability. See the link and search I posted in the above linked thread.
