When I was trying out wallpaper managers, I found a couple that didn't play well, but since I hadn't tried them on any other OS, I can't really pin the blame on WXP. Same with a couple screen savers I've tried that didn't work. Caesar FTP server is another example that was flakey, but I'd never used it before (and it was before I knew about the compatibility mode, so that may have fixed it).
As far as important stuff, and applications in general that I was using on W2K, I can't think of anything that has failed to work. Well, except DirectCD, which I didn't even bother trying, because I already knew it had issues. The only problems I've had is when trying new (to me) stuff, which makes it hard to determine if it's WXP-related.
In short, other than DirectCD (which I didn't use much anyway, because it's inherently buggy), I'm basically using the same stuff I did in W2K, plus a whole lot more. I haven't had to give up anything.
Is that a selling speech?