If you do not convert to the NTFS file system during Setup, you can convert the partition later by using the Convert.exe tool.

CONVERT volume /FS:NTFS [/V]

The volume argument specifies the drive letter followed by a colon. The /FS:NTFS option specifies that the volume must be converted to NTFS. Finally, use /V if you want the utility to run in verbose mode. When you run convert.exe it does some initialization and then asks you to reboot. The conversion will take place immediately upon next startup.

One key advantage of NTFS is that it is a recoverable file system because it keeps track of transactions against the file system. When a CHKDSK is performed on FAT, the consistency of pointers within the directory, allocation, and file tables is being checked. Under NTFS, a log of transactions against these components is maintained so that CHKDSK need only roll back transactions to the last commit point in order to recover consistency within the file system. Under FAT, if a sector that is the location of one of the file system's special objects fails, then a single sector failure will occur. NTFS avoids this in two ways: first, by not using special objects on the disk and tracking and protecting all objects that are on the disk. Secondly, under NTFS, multiple copies (the number depends on the volume size) of the Master File Table are kept. The role of the MFT is critical in NTFS, and it is easily fragmented: regular use of a good defragmentation tool is recommended

Another key feature of NTFS is the ability to encrypt files and directories, this process is transparent to the user. NTFS also has a disk quota system, where disk space can be allocated to different users: again this is transparent, the user simply sees the disk space available to them.

Finally, if you do a lot of file searching, the indexing feature greatly speeds up searches by maintaining an index of all files on a drive.

All of the above does have its impact on performance though, and I recommend you disable any features that are not needed if you use NTFS. If things go wrong, remember that you will not have the comfort of being able to boot into DOS: installation of Microsoft's Recovery Console, or some other recovery software is recommended.