Two years ago, I would have said stick with fat32, because it was good enough for consumers, but today, with HD movies and extreme file sizes, there's just no excuse to use an ancient file system. Upgrade to NTFS asap.
The main difference between NTFS and FAT32 is that NTFS is a journaling file system (like most current file systems). Journaling file systems log changes to a "journal" before actually making changes, which makes it very reliable, and extremely difficult to corrupt the file system, especially if you lose power while saving or deleting a file.
Other advantages of NTFS:
* NTFS is much faster than FAT32, it fragments less, and has a 4k cluster size which matches the processors paging size.
* NTFS is safer than FAT32, because it allows the use of per file permissions. Real file ownership limits access to files to their ownersup to 4GB in size.
* Allows you to have files in any size, that is, if you have 200GB of free space, then you can have a 200GB file, compared to a maximum of 4GB on fat32.
(you will need more than 4GB for HD content).