The BIG advantage of most of the *nix file systems (and that includes HFS+ and ext2) is that they support the idea of file ownership and access permissions. They play a really key part in keeping your Mac safe from trojans, virus' etc.
In general, your account is only the owner of the files in your home directory. All the rest are owned by a special user called root. By and large, you have full read/write access (a.k.a. "permission") to the files you own. In general you only have read access to the files owned by root.
Now, lets say some horrible virus gets loose on your system because you mistakenly clicked a link or ran an executable or... whatever. When it tries to have its way with ANY of the Mac OS X system files, it will fail, because it is running under your userid and your userid does not have permission to write to files owned by root.
While not perfect (really clever people can find ways around this) this provides a wonderful first level of protection for your Mac's system files from your everyday garden variety virus.
SO, you *want* a file system that supports this idea. FAT32 does not, so if at all possible, don't use it. HFS+ and ext2 *do* support this idea, so if you can, use them.
Hope this helps!