I don't have a galaxy device, will get the note, but from what i understand, you will need greater voltage for a hd to work than what you need for a generic usb stick.
There is this vid that demonstrates OTG for the GS2. And at the end of the video the guy says that it will not work with an external drive that requires power from the device.
( New user, cannot post links yet, the video title is ''Samsung Galaxy S2 USB OTG demo'')
I believe this will be the case with the Note too.
But a Solid State hd would probably work... Probably.