Well, I'll state what I know:
FAT32 - Becoming more popular because many USBs/HDDs are already formatted to this. Does not require software to add games. USB/HDD can also be used to store other files (all that is required is that a folder named "wbfs" is created on the root of the device. This is where you can put your games (in wbfs format). Can't really see much cons here...except that you have to convert your ripped ISOs to WBFS files.
NTFS - Also a popular method, but if you were to choose one of FAT32 or NTFS I would generally go with FAT32 (personal preference). Some HDDs are formatted as NTFS already. All you have to is put your games, in ISO format, on your HDD and they are ready to play.
WBFS - An outdated format which is not recommended anymore (as it requires software to add games and the HDD is pretty much useless for anything else while it is formatted a WBFS). Pros? I guess it's user friendly...
Hope this helped