NTFS support is pretty solid on Linux these days, but just so you know, never use it as a root partition.
I have generally used ext4. There’s ways to massage it to mount on Windows, as with btrfs. Ext4 is very likely what you should do if you’re installing Linux for the first time, as it has had decades of testing and is rather battle-tested
I recently did my first btrfs install. For now, I’ve had no issues. Of course, some could happen, but I’ve generally heard btrfs is fine these days. One of its cool things is native compression support, although I forgot to enable it when I did that install.
I’ve never used XFS.
FAT32 should be rarely used these days due to file size limits and file name limits. The only place where it should still be used is for your EFI partition.
Now exFAT really isn’t that unrecognizable. It’s supported by pretty much every operating system these days. It’s definitely not for root partitions, but should be your default for flash drives and portable hard drives.
On another note, I recently tried Bcachefs on Debian Testing on a random old Chromebook. It is still in development, and not all distros support it yet, but I liked what I saw from my limited experience. It also supports snapshots, and unlike btrfs, has native encryption. For now, just ignore it, but like many in this post have said, keep an eye out for it.
As for ZFS, I’ve never tried it. The main caveat is due to licensing incompatibility, it is not in the standard Linux kernel and you have to do some special stuff.