NTFS will have no effect on how games run. NTFS allows for more security options, and is generally more efficient than FAT32.
What you will lose, if you go NTFS however, is the ability to see the contents of the drive if you were to boot up with a DOS floppy disk. Your XP CD is bootable, though, and it will see the NTFS partitions. Personally, I run all of my partitions in NTFS.
I recommend avoiding the latest renditions of Norton (Symantec) products. In my opinion, they have become bloated and too aggressive. There are freeware tools that are available to do the same things, without hogging your system's resources.
My site www.jeffjones.org
has a lot of links to get you started.
the XP firewall: I find it to be pretty harmless. I personally don't use it, but that's because I have a hardware firewall (a router), so I don't need it.
Auto-updates: I turn those off, because like you said, I don't care for the interruptions, and I just like to handle updates on my own. I just check WindowsUpdate.com once a week or so.
My personal utility choices:
Defrag: Diskeeper Pro (extremely fast, lightweight, and single-minded)
Registry Maintenance: Regcleaner (freeware)
Anti-virus: F-Prot for Windows. (I love this program, very small footprint, and very effective)
Firewall: DLink 604 Cable/DSL router
My other favorite tool is StartupEditor, for controlling what loads when windows loads.
Links for these are on my home page.