I compile a lot on NTFS. Actually the compilation of the kernel and NTFS-3G (and soon gcc) is part of the NTFS-3G quality assurance process: http://ntfs-3g.org/quality.html
I didn't notice much difference in performance compared to other file systems during compilations. The typical bottleneck is disk seeks and none of the current stable file system is optimized well for this, yet. This will significantly change in the future (btrfs, ext4, ntfs-3g new releases, etc).