I already wrote couple of weeks ago I keep most of my systems on MySQL 4.1 still as they will not benefit from MySQL 5.0 features anyway while I do not want to likely loose a bit of performance and possibly deal with new bugs and changes introduced in MySQL 5.0 (You never know where to expect problems, ie some people reported JOIN breaking by upgrading to 5.0). Yes this stuff is in upgrade notes but if you run third party software it does not really help.
Today I had the yet another confirmation new bugs can be added even with minor updates and they could happen even pretty late in the product life time. In this case during 4.1 upgrade which is old stable version which is not as actively changed as 5.0
I upgraded MySQL 4.1.19 to 4.1.21 couple of weeks ago and later discovered sorting was broken in Mantis – bug tracking application we use for one of our projects. It is interesting it took a while to discover the problem – newly added bugs do not have to Make MySQL to crash or make queries return complete nonsense. Such cases when query results are just a bit wrong are very hard to track down.
This is why I do not rush with updates, keeping old MySQL version for long while if there are no problems with it (including security problems which would affect me)