The main advantage of NTFS is security... it offers a lot more security features than FAT32...
Performance wise they are very close, although some tests says FAT32 is slightly faster (nothing you will ever notice)...
However, DOS and older versions of windows cannot read NTFS, so if you plan on dual-booting with win9x and wants to share the drive, then you have to use FAT32...
There's no clear answer as who is "better"... it all depends on what you need... if you want/need the added security features, then NTFS would be better...