There's no clearcut answer. FAT32 can be faster than NTFS (and vice versa). It really all boils down to cluster size.
Typically, NTFS cluster sizes are smaller than FAT32 cluster sizes (but not always). The smaller the cluster size, the less wasted space on a hard drive. For example, if your cluster size is 16KB, then a 2KB file uses 16KB (2KB for the file, and 14KB that are wasted). If your cluster size is 2KB, and your file size is 2KB, then there is no wasted space. If your file size is 16KB and your cluster size is 2KB, then the file needs 8 clusters.... all of which are filled 100% (no wasted space).
But space utilization on a hard drive does not correlate to speed. In fact, the smaller your cluster size and the better your space utilization.... the worse it is for your speed. Consider the following example:
You have a file that is 512KB. In a system where your cluster size of 16KB, the computer has to find and access 32 clusters in order to obtain the entire file. In a system where your cluster size is 2KB, the computer has to find and access 256 clusters in order to obtain the entire file. There is no doubt that finding 256 clusters takes a longer time than finding 32 clusters, all other things being equal (i.e., RPM of the hard drive, number of heads & cylinders, etc).
You have to decide which is more important for you... speed or space. If you want good space utilization, speed will suffer. If you want good speed, space utilization will suffer.