The downside to NTFS is that there is a slight performance hit compared to FAT32; the upside is that NTFS is more resilient and stable than FAT32, so if your machine does crash, you're much less likely to lose data with NTFS.
I also believe (although I may be wrong) that FAT32 is not so suitable for large hard drives as the cluster size increases as the partition size increases. What this means is that you are more likely to have slack space on a hard drive with FAT32 than with NTFS.
Personally, I would always go with NTFS; on a modern, speedy PC with fast hard drive, the performance hit is negligible and is a small price to pay for data security.
Rgds
AndyF