I have an application written for a client, that they wanted to have the look and feel of a vista application (actually wanted it to look lik media player).
To get rid of the regular windows border in XP, we set AllowsTransparency to True. This has caused us no end of grief, from slow rendering to bizarre problems with data not refreshing when windows are minimised etc.
I finally found this blog article: http://jerryclin.wordpress.com/2007/11/13/creating-non-rectangular-windows-with-interop/ that shows a way to do what we wanted without Transparency turned on.
And it was very simple to retro-fit to our app. Beaty Newk!