I agree with Grumpy, NTFS is the more advanced file system.
NTFS is far more secure, and you won't be limited to a maximum of 4GB file size.
There are more reasons to switch to NTFS, but the 2 above are probably reason enough.
The downside with NTFS is cluster slack, which bascally means there could be more wasted space and slight speed decrease. But in my opinion, with todays file sizes being larger than what we expected in the past, and processing speeds being much higher, this is almost a non-issue.