Even if you are using on different version of Windows NT based OSs (for example if you will be swapping it between a Windows 2000, XP or Vista based host machine) I would recommend FAT32.
Newer versions of Windows use newer versions of NTFS and Vista especially uses it in weird ways in certain circumstances. Unless you will be dealing with files larger the 4GB (archives don't count, you can split them easily) you may encounter problems with NTFS.
It's a great filesystem for OS related activities but if you are moving it about it's always best to go with FAT32.
Newer versions of Windows use newer versions of NTFS and Vista especially uses it in weird ways in certain circumstances. Unless you will be dealing with files larger the 4GB (archives don't count, you can split them easily) you may encounter problems with NTFS.
It's a great filesystem for OS related activities but if you are moving it about it's always best to go with FAT32.