In general, XP seems to be happier and runs a bit more efficiently on NTFS. FAT32 is a little lighter, but less secure and less fault tolerant in general. Additionally, certain features rely solely on NTFS to operate...such as encrypted files, large file support, and the full file indexing service.

However, there really isn't anything physically wrong with running two different parition types on one drive. Heck, I'm running 2 NTFS, a FAT32, 2 Linux Ext3, and a Linux swap parition on a single drive. It works just fine.

EDIT: Oh, a FAT32 boot and NTFS data drive...that should work. One of my roommates ran his computer that way for a while. Don't see why you wouldn't want to make the bootable parition into NTFS though.