The biggest issue is if you're spanning desktops, D3D will drop into software rendering in Windowed mode for the most part. Also, when moving a window across driver pages, it will invalidate the resource handle for the rendering device, and most applications are not written well enough to "handle" these context changes.
If you're using Windows XP with 2D GDI applications, it won't matter much. If you're using Windows XP with 3D applications (OpenGL or D3D) or Windows Vista with compositing turned on (Aero) or the same restrictions as XP, it just won't work well period, if at all.