In terms of pure speed, Fat(fat16) is fastest, followed by fat32, followed by ntfs. Fat uses larger clusters so the head doesn't have to pick up as often as fat32 for continuous data, and ntfs, theres all that security overhead, plus small cluster size.
However, fat 16 wastes a lot of space due to the fact that no more than one file can occupy a cluster; ie, with a 33k file and 32k cluster size, you're effectively using up 64k of disk space no matter what, using two clusters.
I'll stick with the overhead of NTFS5 and win2k...