The thing that worries me with Linked Servers is the security aspect.

Our SQL2000 boxes won't delegate but our SQL2005 boxes work just fine.

We have trawled through just about every obscure knowledgebase article on delegation to find out why.

If you can't get delegation to work and use a fixed account then you are going to have a security risk with anyone who can log onto your local box. they can do whatever the linking account allows them to do on the remote box!