NTFS is all about security and compression. With NTFS you can set advanced permissions on a folder-by-folder basis. Extremely useful, if not utterly essential, in a network environment. Add to that file-level encryption, and this means that without permission, nobody's gonna be able to access restricted files and make any sort of use of them.
NTFS also supports stable real-time file compression. While with FAT32 you can use programs such as DriveSpace/DoubleSpace, this is dependent upon the specific OS under which the compressed drive was created, and all files on that drive must be compressed. Not to mention the inherent bugginess of these systems, nor yet the abysmal speed at which they operate. Compression on NTFS is a slightly different matter. You can select by file or by folder which items you wish to compress, and if your OS can read NTFS disks, they can read your compressed files (assuming, of course, that they aren't encrypted against you accessing them). Compression will of course slow down execution of the files, but not nearly to the extreme of the compression utilities available for FAT32-based OSs.
I would be interested in seeing some reliable benchmark results comparing the two file systems for speed. I haven't noticed any difference there personally.
For a full review of the essentials of the NTFS filesystem, go to http://www.ntfs.com/
And for a comparison table between the FAT and NTFS, go to