The only real downside is the EULA for XP. By accepting it, you give Microsoft pretty much the right to do anything with your machine that they want to do.
My next door neighbor works at a college, and part of their curriculum is providing course-specific software to their students. He has told me that they've told their students to avoid installing XP on their machines, because XP has disabled students' machines when it did an "internal software audit" (or actions to that effect).
Personally, while XP may be faster than W2K, may have more bug fixes (who really expects XP to never have a multi-megabyte download patch -- I've got a nice piece of swampland in Florida you've got to see), and may support hardware better than W2K, I find it hard to install software on my computer that regularly audits my hardware and software, and will prevent me from using my machine (without a phone call to M$ to "ask permission again") simply because I upgraded too many things at one time.
XP can go rot in hell for all I care. It may be cool, and it may be "better" (depending upon whose definition of "better" you use -- Micro$oft's or you own), but when W2K does the job for far less hassles, I'm not going to "upgrade" simply to put more money in M$ pockets.