The PSU found in Shuttle XPCs are small, but good quality. They will handle anything you can throw at it. Others at the Sudhian forums have put in P4EE, with Raptors in RAID with an 9800XT in the Shuttle without any problems. X800 also have been tried, but with either a P4c or A64 not an P4EE. A couple of people have even a Prescott working in the Shuttle. The only thing which has yet been confirmed to work on a Shuttle is the NV6800.
The only other downside not mentioned about SFF PCs is the cost. You are paying a 50-100 premium for the smaller case and MOBO.