NTFS or FAT32, which is better?

If I’m going to reformat a thumb drive, or hard drive for that matter, is NTFS or FAT32 better? What are the implications of each? Do I have a choice?
A friend of mine said always use FAT32. I just wanted to double-check.
Also, do CDs and DVDs have to be formatted before I use them?
I know that they are probably already pre-formatted, but if they are NTFS, should I re-do them into FAT32 first?
I’m talking about Windows desktops and laptops.