FAT or exFAT or NTFS I recently brought Western Digital's Passport Essential, and will be using with my MacBook (running Snow Leopard), MacBook Air (running Lion) and Windows 7 Desktop. I should be able to read-write data using each machine/OS.

Moreover, I need to store and move files larger than 4GB.

So, what should be preferred file-system type: FAT, exFAT or NTFS? Will my portable drive support exFAT?
FAT
Fat is definitely off the table since it only supports files up to 4GB. So you won't be able to transfer files over 4GB like you stated in your question.
exFAT
exFAT won't have this limit since it's capable of supporting files up to 16 exabytes (16.000.000 terabytes). It's an excellent format for your flash drives and/or external (not internal!) hard drives.
NFTS
NFTS is an alternative, but your Mac (starting from 10.3) can only read it. It won't be able to write data on the drive, unless you use some extra software and hacks,
but some users have reported some instability and performance issues using NFTS on a Mac.
Windows/Mac
Windows 7 will read and write FAT, exFAT and NFTS without any problem. (It can even ReadyBoost from an exFat flash drive). Starting from Mac OS X 10.6.5, the OS supports reading from and writing to exFAT formatted drives.
Conslusion
I would go for the exFAT. It's fast, supports huge datafiles and both your Windows 7 and your Mac will be able to read/write to it.