Word of warning on "Safe removal" of external harddrives: You really want to click "Eject" or "Safe removal" every time before unplugging. This is much more important than on Windows, due to the way Linux handles buffers and caching. A copy operation will be "finished" but still live in the write-cache and not securely written to disk.

NTFS is no problem (But as mentioned earlier in the thread the permission system is different). I usually format all my external devices with NTFS so they'll work on both Linux and Windows machines without any fuss.