Why is exFAT so slow on Mac? I tried exFAT in order to use my external hdd on both mac and windows but I found it's so much slower than HFS+. The speed is noticeably different when I tried to fast forward movies (over 4gb). 

exFAT was recommended in this question.
exFAT is a file system optimized for flash drives, meaning storage devices without moving parts where seek times are constant. It sounds like you're using it for a mechanical hard drive – which is what's causing the poor performance that you're experiencing.

You should reformat the drive to HFS+ or FAT32 and only use exFAT for solid-state drives.

ref: http://en.wikipedia.org/wiki/ExFAT