I installed XP SP2 on my test machine this morning. The install went smoothly, and a few apps, e.g., Groove Virtual Office (v3) and MSN Messenger, noticed the SP2 changes; Groove politely offered to add itself to the SP2 firewall exception list (noting that it would no longer function, if I didn't...), and MSN Messenger upgraded itself and added itself to the Windows firewall exception list. I use Aventail VPN at Burton Group, and it also automagically appeared on the exception list.
The pop-up blocker seems to work well. The NY Times site, for example, is a very different experience without annoying pop-up windows and Flash ad overloads. I had to add Blogger to my pop-up exception list, in order to keep using the handy BlogThis! shortcut, but otherwise pop-up blocking seems to work as expected. I have noticed there seems to be a correlation between Flash ad-heavy pages and pictures, e.g., sometimes nytimes.com pages with big holes where the Flash ads should be also fail to load (unrelated) images.
One site that doesn't work on SP2 at all, at least on my test machine: Gmail.