WinME cannot read or write to NTFS partitions without third party drivers.
NTFS offers file level security with the ability to define the type of access for any single user or groups of users to selected files, directories, partitions, or even attached resources like printers.
NTFS also manges disk space better than FAT16 or FAT32. This is particularly true of large mutli GB disks. There is also less fragmentation with NTFS than with FAT16 or FAT32. This is not to say that no fragmentation exists, but it manages files better so that excessive fragmentation doesn't happen so quickly.
Because of the enhanced abilities of NTFS, there is extra overhead with it, but the amount is negligible and in the long run NTFS offers better performance for your system than FAT16 and FAT32.