The primary advantage to NTFS is in the corporate environment. Administrators can control who has access to network drives, directories, and even files. If your computer is for home use and you are the only user, there is no noticeable difference between FAT32 and NTFS. If you have more than one user and you want to control who has access to your data, then use NTFS. This is what is meant by "Built-In Security".
This table summarizes the differences: http://www.ntfs.com/ntfs_vs_fat.htm
I still use FAT32 because I want the Win98 partition to be able access other partitions. I also, still use DOS, which is not able to read NTFS without help from 3rd party software.