HANSXP is right on. The difference between NTFS and FAT32 can be discussed for ever. Basically, I would always go wtih NTFS, unless you have another app that will not work on NTFS. The only case like this would be if you were going to use another OS, like Linux, on a FAT partition and needed to keep the existing partitions the same.
You will not see any performance difference between the two. In fact, on most newer machines, you might see a better performance difference than that of FAT32. You see, the filesystem NTFS API is built into the Executive level of the Kernel. This is below the User level of the Kernel and any file level operations will be transparent to the user. This includes COMPRESSING data. When the file is compressed and de-compressed, the user will not see any difference nor know that the file is being compressed/de-compressed when the user is opening the file.
With NTFS, the location(s) of the data is stored in a journal. As opposed to the FAT table, journaling helps with reliability. If your system does happen to crash, you can recover for data lose easier than you would with FAT.