I haven't had an issue at all on the machines that I've put it on but I will say that if you have a firewall already set up on the network and probably configured then you don't really need the local Win XP firewall that SP2 installs. Turn it off, there are rescources in the TechNet web site for doing this without getting the annoying system tray warning all the time.
Still, if you are a glutton for punishment and want to keep it on (and be warned, it does munch some CPU cycles!) make sure you know your port assignments. Microsoft has a list of the common ones
here .
HTH
PS Jay, do you have TCP/67 and TCP/68 open on the firewall of the effected SP2'd machines?