FAT32 is supported so well that you could call it flawless. I never heard of anyone who had problems with it. NTFS is another matter though.
You may need to set a umask in your fstab file which will set the FAT32 partition's default user, group and permission settings. It does not actually support permissions but linux will give any file and directory default permissions. You may need to alter them to be access them as a normal user (ie non-root).
As for shared information, I just configured mozilla to use the mail directory on my windows partition. This way I have access to all my email, no matter if I'm running linux or windows. You can also use the same partly downloaded files for edonkey/emule and xmule under linux. Works perfectly for me. This definately makes switching to linux easier.
And one more thing... you will probably never see your linux partition(s) in the windows explorer. Windows by itself is unable to read those. There have been drivers and/or programs that made it possible to access your linux partitions under windows but I'm not sure if any of those work on windows xp.