Unless there is something physically wrong with the hard disk (bad sectors etc.) then you have nothing to worry about when doing the file system conversion. It will be almost transparent.

NTFS is a much better file system, too. You can do things like set security permissions on individual files and folders. It's also more tolerant of things like unexpected shutdowns.

There is one thing you need to be careful of, though:

NTFS cannot be read by DOS or Windown 95/98. So if you have multiple operating systems installed, or if you ever expect to use a DOS boot floppy to access the files on that hard disk, then you shouldn't use it.