No problems or gotchas I can think of. Macs have had the ability to read/write FAT 32 and recognize USB mass storage since way back in the 8.6/9.0 days. I've never had a problem with cross-platfrorm use of such devices.
Only difference I've seen is that a USB mass storage device will simply mount on your desktop when you plug it in to a Mac. No little arrow icons in the systray, no notifications that a new device has been added, and no auto-opening of particular software or wizards as sometimes happens with Windows. No muss, no fuss. Just be sure to drag the disk to the trash (eject it) before unplugging the device.