It works fine, I've got servers at home running 2000, 2005 and 2008 instances side by side with no issues.
They need to be installed in the right order though, lowest versions first. If you install a 2005 instance on a 2008 server, then it can cause you issues when it overwrites some dlls. Also if you subsequently uninstall one of the instances, it usually rips out shared dlls and breaks the other instances on the server.
All in all, it is feasible, just take care 🙂