Steven Bink reports that Microsoft have released their first post-SP2 hotfix (just 14 days after SP2 was released!). The problem relates to programs that connect to IP addresses that are in the loopback address range and further details are contained in Microsoft knowledge base article 884020.
Microsoft support articles relating to Windows XP SP2
Matt Batchelor sent me this handy link for a summary of all the current Microsoft knowledge base articles relating to Windows XP SP2.
(Actually, the whole site looks pretty useful).