They're probably formatted FAT32. FAT32 has a 4GB file size limit. If they are you can re-format in Disk Utility.
Reformatting erases everytning on the drive your re-formatting so transfer anything you want to keep off of it.
You'll find Disk Utility in your Applications folder > Utilities. You can use it to reformat a drive and/or erase or partitionit. It is a very handy utility. Highlight the drive on the left and choose your format.
FWIW, most external drives (including hard drives) are formatted for Windows, so if you buy one, format it first (that is if you are only going to use it with your Mac),