Extra FAT32 Partition
It is possible to install Windows with NTFS, and set up a third partition (formatted as FAT32) to share files between OSX and Windows.
Start out by following the instructions in the article Triple Boot via BootCamp. You can either use the dual MS-DOS partition method explained there, with diskutil, or you can create a linux partion and a MS-DOS partition and follow the instructions below.
The "Linux" partition will be the shared FAT32 one in the end, so size it appropriately. Be sure to partition this thing as Linux, not FAT32.
If you format the shared partition to FAT32 before installing Windows, it won't work because Windows will see the shared drive as the active partition (C:) and put its boot stuff there, which isn't where the mac firmware wants it. Again, see the Triple Boot via BootCamp article for a fix for this -- or by making the format "Linux", diskutil will set the 3rd partition as active in the MBR, instead of the 2nd, since it is the only MS-DOS partition (the only one that can be "active").
Install Windows to C:, using NTFS. Instead of booting a linux disc for triple boot at this point, pop the OSX DVD in and boot to it. Once you get past the welcome screens/language selection, a menu will show up. Under "Utilities" start the Disk Util. Select the shared volume in the left pane, and choose the "Erase" tab in the right pane. Change the Volume Format to MS-DOS File System, and click "Erase". When it's done, close Disk Util and cancel the OSX install. Reboot, and both OSes will be able to read/write to the shared partition.
The reason the last step must be done with the OSX DVD is that OSX doesn't allow you to change the filesystem type of volumes on the boot disk. By booting to the DVD, you can do a lot more in Disk Util. You can delete volumes on the boot disk this way, too.
This was tested on a Core Duo Mac Mini.
What Doesn't (yet)
MacOS has a builtin utility to resize and split HFS volumes without losing data. In theory, you should be able to use it to split up the Mac volume without affecting an existing NTFS partition that has an existing Windows XP install. Unfortunately, it doesn't work for this purpose. You can boot into the OSX CD and then use "diskutil resizeVolume" to add a FAT32 partition in between the MacOS and NTFS partitions. It "almost works" but then when you're done, Windows XP doesn't boot. It does get as far as the "Last Known Good Configuration" boot menu - so it's possible that a small tweak is all that's left to make it work.