Fat95 is fine for floppies, hard disk partitions, zip drives etc.
As for CD roms, things are a bit different. Data CD's have always had their own formats (ISO standards).
If you have OS3.5 or better, the CacheCDFS filesystem bundled with it reads Joliet (that is windows own extensions to the CD standards) fine. Nothing special you need to do there unless something is wrong in your CacheCDFS settings. Check the prefs program for it and make sure Joliet support is enabled.
I burn CD's on my winbox to copy large files to my amiga quite often, so I can verify that this works just fine.