Are you referring to the SQL 2000 SP4 upgrade or the Analysis Services SP4? If you upgrade to AS SP4 there is a hotfix rollup. I was going to upgrade today and was looking for gotchas before I started.
I know that with SQL 2000 SP4 there is a bug that is fixed with SSL. When applying SQL SP4 it broke our JDBC connection from Websphere (because it fixed the SSL bug) and Websphere could no longer connect. Microsoft released a new JDBC to work with Websphere.
Link to AS SP4 hotfix rollup:
http://support.microsoft.com/kb/907323/en-us