If you are preinstalled with FAT32 or want to change to NTFS you can convert the filesystem to NTFS with the command convert {drive letter:} /FS:NTFS Its a one way change though and not wildly helpful for anyone with a multiboot system. www.sysinternals.com have NTFS drivers for most M$ os's that dont natively support it if you want to use them but obviously not for the boot partition unless you were planning to use it as a doorstop.

There are benefits in terms of fault tolerance, security {potentially anyway} and speed when using NTFS on drives over 1Gb i could waffle on for hours about the why's and wherefore's but im sure someone here will have already done it at length far more eloquently than i ever could

Paul