I've been running Windows 2000 in OS X Parallels. I don't use it much, but it's nice when I need it. I have, however discovered a slight dark. The new beta allows me to browse my entire machine. Forget access control, I could browse every folder.
It's worth noting that if you have Parallels installed, that anyone using it can bypass the usual OS X permissions controls. (Sure, physical control of a computer means security is minimal, but this requires no skill at all.
Makes me wonder what kinds of security holes are created by running Parallels.