I just did this (I was moving servers at the time, so a little different scenario, but still moved from 2k to 2005), and was surprised at the lack of problems. It was a very smooth transition from one to the other. Some things I have noticed so far with 2005: the BMC and the RE Connected Users plugin no longer properly show the connected user (sometimes REUser shows up, sometimes the name of the server shows up, etc). According to
BB, its not using user licenses, so no big deal except when you want to see whose connected.
Also, so you know, the database doesn't automatically become a 2005 database. In the Microsoft SQL Server manager, there's an option for each database as to compatibility that you need to change from 80 (which is 2000) to 90 (which is 2005). Other then that, ours has been much more memory efficient (its still a memory hog, but just doesn't eat quite so much), so its rolling on...
If you use the SQL manager for 2000 a lot, be prepared for some change. The one for 2005 is completely different

Some things I like, some things I don't, so we'll see...
I just made this server live yesterday for everyone, so we'll see how things go in the next week.
Doug