When I was still using Windows XP (eons ago) for games, my computer setup is always dual-boot with Linux. However, there are times that I need write-access to the NTFS partition from Linux and it could be such a pain to do it. Using FAT32 on Windows XP simply won't cut it for file system stability reasons.
Try it and tell us how it goes.
[image courtesy of Flickr user florisla]