2 things off the top of my head:
- transactions will be elevated when you use more than one connection object in the same scope, even if the connections have the same connectionstring (this is fixed in sql 2008). Read more in this thread and dbconnectionscope will solve that problem on sql 2005
- msdtc instances need to be able to see each other and need to have their security set up correctly
http://support.microsoft.com/kb/899191 (allow inbound and outbound, do not require mutual authentication is usually the safest bet). Use DTCPing to troubleshoot connection issues between dtc instances as explained here: http://support.microsoft.com/kb/306843
You want transactions to be lightweight as much as possible, dtc introduces a lot of overhead. You also want transactions to be as short as possible, so introduce them only on the application servers and not on the web server. Make the hop over the network between the application servers and the database as small as possible and as fast as possible, send network traffic between web and app servers over a different connection than between app servers and db, and make the last one a screaming fast, ridiculously short connection.
If you have multiple application servers, you could consider having a single instance of msdtc running on a server (e.g. on the database or on one of the app servers) and use this remotely from all application servers instead of each one running their own, but I don't know what additional benefits this has.