As far as I know, Apple designed the iPod to work as FAT32. While it will work as HFS/HFS+, I don't see any reason for it to work any better or have performance boosts from being formatted differently.
I have a 80 gig 5th generation Classic that I formatted with HFS purely because I use it as an external drive, and the maximum filesize on FAT32 is 4 gigs. My primary listening iPod, a 7th gen 160 gig Classic, is on FAT32. I haven't noticed any difference performance-wise between the two.