If you want to switch ROMs you do need a FAT-formatted card for that. For the 5500 it has to be a CF card, I don't know about the 6000. If you flash from SD the first partition on your SD card will need to be FAT (but you can have multiple partitions - check ZUG howtos).
There is one good reason to have a non-FAT filesystem: FAT does not support symbolic links (making the computer believe a file is somewhere when in reality it is somewhere else). These are necessary for some programs' function and such programs cannot be installed to a FAT-formatted card.
As for which filesystem is the best: JFFS2 was developed
specifically for flash cards and has some nifty features (uniform wear distribution, write minimization). I believe OZ supports it though I'm not sure (and I definitely don't know about other ROMs). The other choice is ext2 which is definitely supported in OZ and elsewhere.
z.