Apple - Portable encrypted USB stick

Buy a USB flash drive that uses hardware encryption, where the unlock mechanism doesn't depend a software client, then format it however you prefer. An example of this would be a USB flash drive with a a biometric sensor which can scan a finger, or a built-in keypad where you can enter a PIN to unlock the drive. Several vendors sell hardware encrypted flash drives like these, including Apricorn and Imation.

Neither OS X nor Windows have on-board tools to read their mutual encrypted file system (FileVault2 / BitLocker).

The only solution I found so far is using a third-party tool:

BitLocker:

• Dislocker

  This software has been designed to read BitLocker encrypted partitions under Linux and Mac OSX systems.

Third party file system:

• LaCie's Private-Public (download page/Documentation). On the Mac side you have to install OSXFuse additionally.

  The software seems to be free of charge.

You could try VeraCrypt, which is a fork of the now-defunct TrueCrypt. This will let you encrypt the whole device and make a Fat32 or NTFS partition inside the encrypted volume. It supports OS X and Windows.

** Note that for MacOSX 10.6 and newer, OSXFuse must be installed as per VeraCrypt's "System Requirements" at https://veracrypt.codeplex.com/wikipage?title=VeraCrypt%20Volume