As far as I know, NTFS is best for XP, and I read somewhere if you are using other operating systems, to have a Fat16 partition for shared files
NTFS is meant to be a much more secure format, and is claimed not to allow anywhere near as much fragmentation of files ... not sure if that claim is 100% true

The only thing is, if you have win98 or Me (I think), they won't recognise your NTFS partitions