For information on the pros and cons of the different file systems, see Wikipedia.
XFS and JFS are good with large files. Moving and deleting a large file on XFS or JFS is almost instant, whereas on Ext3 or Reiser it will take several seconds.
ReiserFS is good with small files.
For an external hard drive for music and movies, I would go with XFS or JFS. This is assuming, of course, that you are only using the disk on Linux machines with XFS or JFS support.