The comment about properly dismounting the volume is probably the single most important thing that can be said. EJECT your media from Windows; don't just unplug it.
I use a thumb drive literally every day to move files back and forth between my laptop on one company's network and the desktop on a different network, and I have only had one or two problems with file system corruption - all of them due to instances where I forgot to dismount the drive, even if it had been sitting for a while.
And for what it's worth: while NTFS is a better file system all the way around, FAT is the only file system that's recognized by just about anything with a USB port. The stereo in my car, the USB camera kit for my iPad, and the USB OTG adapter for my cell phone all work with FAT formatted thumb drives, but none of those work with NTFS drives.
So: EJECT your media properly (from the tray or right-clicking the drive in My Computer) and use FAT32. Those two rules have served me very well for a decade.