Except that there are way, way, way way way more of them, and 99% of the time it requires you to confirm the action *twice*. =/ I've also experienced what hircus mentioned about the prompts being stuck in the background until you manually focus them.but the normal user experience is not very different to OS X in terms of security prompts.
I think it's fine for people to stick with XP SP2, at least it's mature. Once Vista SP1 comes out then it should be nice to upgrade.