NTFS is not much slower that FAT32 on drives with a built-in cache (almost all these days) and far more efficient. Furthermore it's a journalled file system (like ext3 or Reiser FS) so is much more robust in the face of damage. FAT32 has effectively no security, while NTFS has excellent, fine-grained security. On todays big drives FAT32 is an inefficient anachronism.
Thanks to MS, the structure of NTFS is is a closed proprietary secret, so other operating systems have trouble accessing NTFS drives. Linux and other OSes can read NTFS alright, but writing is more problematic. Various schemes exist to allow other OSes to read/write NTFS - some of them use a wrapper for the MS drivers themselves and are pretty reliable, but this is not sanctioned by MS, though if you have Windows installed on another partition it's probably legal.
The only time I'd use FAT32 nowadays would for for a local partition that I needed to access regularly from Linux and Windows. Even then, I'd probably use ext3 and use ext2fsd (an installable file system driver for Windows) to allow me to access the ext3 partition from Windows rather than vice-versa.
NTFS is an excellent filesystem, it's just a pity that MS are so bent on preventing interoperability with other systems that they won't even release a binary driver, let alone publish the specifications.
NB:
It's exactly the same problem with the MS SMB/CIFS network system - MS doesn't want other systems to be able to access Windows systems over a network. MS wants you to chuck your other system and buy Microsoft, so they keep the structure of SMB/CIFS a closely guarded secret.
Happily Andrew Tridgell analysed SMB/CIFS (an enormous task) and wrote the open SAMBA protocol which allows other systems to interface with MS's SMB/CIFS. This works perfectly and the SAMBA team probably now know more about SMB/CIFS than Microsoft!
PS: There is an alternative to SAMBA and SMB/CIFS. Linux/UNIX supports NFS (Network File System) natively and if you install Microsoft's Services for Unix, Windows can too. I found it much harder to set up than SAMBA and never really got it going satisfactorily (if I'd RTFM I'd probably have been more successful!).