So, do you recomend any other file system, or should I stick with FAT32?

FAT32 for what?

For Linux, use Ext3, Reiser, XFS or JFS (Ext3 and Reiser are most popular). I use Reiser myself (and recommend it), choosing the right filesystem is just a matter of personal taste.

Rinning Linux from FAT32 is possible, but it's not a good idea. It's not designed for Linux or similar system and doesn't have all features. But you can keep your data on a FAT32 partition (especially during installation). Later, you can always copy all the data to one of Linux partitions and re-format FAT32 to a Linux filesystem.

Can I run linux with FAT32, or do I need a different FS for each OS? Then, I wouldn't be able to access files on the linux partition through windows.

FAT32 just wasn't meant for Linux. It just doesn't support certain important features (one of the reasons windows is so susceptible to viruses is cuz of FAT32's lack of security) Linux needs. You could use the UMSDOS filesystem, which adds Linux features to the FAT16 filesystem (works on FAT32, but with a few disadvantages tho). It also is pretty old, and has a bunch of disadvantages. You should probably get Explore2fs, which lets you browse ext2 & ext3 from Win.

ok, once I get linux all set up, I have a bunch of software to download, to make the 2 OS's work together.

No version of windows can see linux. Linux can read ntfs but it's not safe to write to it (Even though some people get away with it). Linux can read and write to fat32. You can use either samba or linneighborhood to access windows.

If you need windows and have the choice, ntfs is much more secure than fat32. If you need to share between windows and linux, consider having a fat32 partition just for the shared files.