Is that USB drive NTFS-formatted?
I had the same issue last night, was trying to copy a .mkv full-hd movie onto a USB stick, so my Samsung TV series 5 could recognize the stick.
This is my first Mac, I'm a noob, so I found out about the file system differences, the hard way (no NTFS out-of-the-box for Mac users).
So I found NTFS-3G and FUSE (http://ntfsonmac.com/) that enables you to format in NTFS from your Mac (and, respectively, read/write), but I just noticed the same thing you did: after formatting my USB in NTFS from my Mac, it was taking like 50 minutes to copy a 9 GB file to it
I haven't tried formatting it NTFS on Windows and then reading/writing to it from the Mac (with something like NTFS Free). Neither did I test that USB stick on Windows, after formatting it NTFS on the Mac.
Ok, I went a little overboard with my story, but just wanted to share my experience. I too, would need to know if there's any (safe) solution to this (if anyone wants to say exFAT, please don't).
P.S.: I'm on Mountain Lion.