Well after downloading Windows XP SP2 a couple of weeks back and burning it, I've finally had a chance to install and review this major update for Windows XP. First the size is very large so if you plan on downloading it you better have broadband since it weighs in at almost 500 MB (or under 300MB compressed).
You can download this service pack from MSDN if you have an MSDN subscription, otherwise Microsoft prefers that you use Windows Update to install this or you can download this at Microsoft.com (Click Here).
Personally for me the installation went very smooth. The largest improvement this service pack provides is an enhanced client firewall. I really like this feature and recommend leaving it on even if you have a hardware firewall. The next biggest improvement is for Internet Explorer and it now contains a pop-up blocker, FINALLY!!!
Some people have reported problems however and had to reinstall Windows entirely so I'd backup you first, although admittedly I didn't.