Something to consider is how your 3rd party app interacts with the database. For example if you do a parallel install, the SS2005 instance will have an instance name other than the default and maybe a different port (assuming that SS2000 is using the default install on port 1433). So you will have to redirect your 3rd party app to the new instance.

if you do the upgrade in place or from scratch you won't have those issues.