Thin provisioning will not work when the NFS is hosted on Windows, again because of the lack of compliance. So thick is your only option. I have been able to get my 550 GB vmdks hosted on Windows NFS to format within 4 hours. The following link provides some best practices for optimizing NFS on the vmware side:
http://www.vmware.com/files/pdf/VMware_NFS_BestPractices_WP_EN.pdf
And this on the Windows side for Server 2003:
http://technet.microsoft.com/en-us/library/bb463205.aspx
You can format the vmdk manually by sshing into the appliance to see the progresss. To is a shame the progress is not available from the GUI.
As for CIFS vs NFS, you can generally expect both better reliability, because NFS can be much more forgiving with network interuptions, etc., and performance, because NFS has less overhead than Windows CIFS.