I thought I was having problems, but it turned out to be a faulty motherboard. I would recommend you know how to tweak internal settings in your computer and use a firewall you have good control over before making the switch.
If you use a lot of applications that communicate on-line, double-check the MS web site for details on any problems you might encounter. SP 2 mostly has problems with security-related issues. So on-line games will need extensive tweaks, whereas SolidWorks shouldn't give you any problems unless you're accessing files across a network from a server--then you have some security settings to tweak.
Running SP2 from the beginning and no problems so far. I'd love the pop-up-stopper. If you use an other firewall than XP, you better turn off the standard xp firewall to occur security related issues.