Here's one bit of firsthand testing I did recently:
Limited account 1, WMF exploit 0 (bottom of the four links there, and the others might interest you too). With screen-capture video.
Against that sample, the Limited account was effective damage containment. The exploit still ran, if no other protection was in place, but its payload fell flat for lack of Admin privileges.
The Limited account also would safeguard your security software. Deleting the security software's files and Registry entries and pooching your HOSTS file is a common MO, and one that a Limited account would not have the ability to do on a normal WinXP setup.
If your Admin account has a blank password, then AFAIK on a WinXP SP2 system, it's safe from being used via secondary logon, because that's one power that was taken away in SP2 (or maybe SP1?). If it has an idiot password like "password," then it might be exploited. If it has a strong password like
Heen05@ATForums then you've defeated the let's-try-the-likely-ones approach.