The default way of sharing data between Windows Subsystem for Linux (WSL) is mounting Windows directories inside WSL. This works, but is rather slow.
There is a different way: Mount a WSL file system under windows. You can even mount a bare drive in WSL, format it with e.g. ext4, remount it as ext4 and then assign a drive letter under Windows.
Rob Pomeroy has written a blog post about this.
He does not mention an additional way to mount from Windows which if found on SuperUser, so I add it here:
subst z: \\wsl.localhost\Ubuntu
Not sure how fast that is from the Windows side though.
And since I am at it: Microsoft has some actually good documentation about mounting drives under WSL.