Never had a problem, in fact I can think of quite a few times where someone with Windows (especially Vista) couldn't connect but I didn't have any problems. Sometimes I have had issues with Safari and certain webpages, but that was remedied by using Firefox on those websites.
Lastly, I've also heard about problems with using printers, for the most part printers are not plug and play like they are with Windows XP. However, again it is a simple matter of going to the makers website and downloading mac drivers and voila! Done this with few different printers and no problems.
Also, now is a really great time to get a macbook or mac pro, because they just came out with a new one and they are really nice! Made out of a solid aluminum base and they are lighter than the old version.