If it's going to be plugged all of the time on the router, go with ext3. Best performance, compatible with Optware, most reliable under Linux (what the router runs).
If you need to plug it back on a Windows machine now and then, or you aren't too familiar with Linux file permissions, go with NTFS.
I think it depends on if it is a hard drive or a flash drive.
USB flash drives usually have built in "wear balancing" so ext2 is the recommended file system (ext3 will cause more writes wearing out the drive faster).
(If they didn't have built in wear balancing jffs would probably be a better choice.)
If it's a hard drive, ext3 is better (the journalling makes it less prone to lost files if it is shut down or disconnected without proper dismounting).