I've run UT2004 with no issues...well, no issues from the 32-bit version anyway (the 64-bit executable keeps insisting that my CD key is invalid). I was just running the game from its installed location on my primary hard drive (where XP is installed; different from my Vista drive). So I had to use a "UT2004 CD Key Changer" to put my CD Key info in the registry....haven't actually tried installing the game within Vista yet (and I likely won't until such time that I move to Vista as my main OS; running short on disk space), but I certainly have played UT2004 (32-bit) in Vista with no issues. Runs quite nicely too, though since I always run with Vsync (60fps cap) I can't quite tell how much slower (if any) it is than XP.
Edit: I also didn't have to change the compatibility mode or run it as an administrator or anything.