What filesystem to have on my USB-harddrive; FAT32 or NTFS?

You need to make sure that any device that will access the hard drive can read the NTFS file system.

With Windows it's not an issue as all versions from XP onwards can.

The question then becomes can the PS3 access a NTFS drive? Judging from the first link (admittedly from 2007) that turned up from a search for "PS3 NTFS" I would say not.

You are right. FAT32 can only handle files up to 4GB in size as per this article about FAT32 limitations on the MS web site.

NTFS is the way to go unless, as another answer states, PS3 cannot access NTFS formatted drives.

UPDATE: some research on the subject seems to indicate that the PS3 will not recognise your HDD if you format it to NTFS.