I've heard a lot of debates either way. I've heard that NTFS has a higher performance because its been re-written to be more efficient with its writes, caching, etc. Its also supposedly better because of its better error-correction (it doesn't need a disk check on boot if you don't properly shut it down, like FAT32.. due to disk logging like ext3/reiserfs). I've heard that FAT32 is better because its simpler disk I/O and doesn't have a lot of the overhead that NTFS does. Plus its more compatible with other OSes because its not proprietary like NTFS is.
Either way, I've not seen a difference between using coLinux on either. (Except, of course, for the disk checking on boot with FAT32.) With proper stats, I can't also say that my experience is definitive, either. I'm sure it would depend a LOT on hardware.