Thanks to neostyle who gave me the heads up in BPN about this news.
Microsoft has posted a list of programs with possible issues in Service Pack 2. This is not a list of incompatible programs, but it is a list of programs that may or may not work correctly, or may behave differently, in SP2.
Service Pack 2 introduces a number of new features that help increase performance and security, and many the issues in the programs listed are related to the introduction of the Windows Firewall feature. You can also search the Microsoft Knowledge Base for specific issues that are related to your program and for the effects of the increased security features that are offered in Windows XP SP2. (Use the WINXPSP2 keyword in your searches.)
In many cases software vendors will release patches to their software to correct these possible issues. Such a case where this has taken place is the Neowin UXTheme MultiPatcher (which strangely enough is listed on this page). We have updated this program to version 2.0 with the release of SP2. (More info) Microsoft has 1.5.1 listed.