What's the difference between FAT32 or NTFS?

 The FAT32 file system cannot store individual files larger than 4 GB, while the NTFS file system can. Compared to FAT32, the NTFS file system has higher disk utilization and can manage disk space more effectively. The read and write speeds of NTFS are also faster than that of FAT32. 

 

The next question might be what's the right option to pick to format my USB

The answer will be depending on the kind of use of the USB as there's really no reason to use NTFS on USB sticks unless you really need support for files over 4GB in size. In that case, you'll want to convert or reformat the drive with that NTFS file system.