You don't have to do any updates until after you install SP2. It would be redundant and unecessary since service packs are cumulative.
Upon installing WinXP SP2 there are eight "high priority" updates for the OS, IE6 and Outlook Express:
Security Update for Windows XP (KB885836)
Critical Update for Windows XP (KB886185)
Security Update for Windows XP (KB885835)
Security Update for Windows XP (KB873339)
Cumulative Security Update for Internet Explorer for Windows XP Service Pack 2 (KB834707)
Malicious Software Removal Tool - January 2005 (KB890830)
Cumulative Update for Outlook Express for Windows XP (KB887797)
Security Update for Windows XP (KB890175)
If you install Net framework ...there's
Microsoft .NET Framework 1.1 Service Pack 1
If you install Windows Media Connect ...there's
Update for Windows Media Connect
If you don't install Windows Media Player 10 there may be ones for previous WMP's