I do. That being said, we don't have the benefit of VMWare or Virtual PC here. I have had a little difficulty on the setup at times, making sure right video drivers and sound drivers are loaded, but other than that I haven't had any problems. The benefit is that you are developing on the target environment your code is being deployed to. I don't see how any developer can really know what is going with their code unless they either have an emulator or running it as their development operating system.
I can't vouch for 2008 and Vista, but I can tell you the IIS running on XP vs 2k03 is different, and those differences can trip you up when doing IIS/ASP.Net development. I get into countless discussions as to how IIS on 2k03 works (multiple web sites, etc.), because people run IIS on XP which doesn't have some options. I can't think of a time when something I wrote in XP doesn't work on 2k03, but many times I've seen people try do something the hard way, because they really don't understand how IIS on 2k03 runs. One could say that this can be overcome with a better understanding of IIS, but having it as a development environment forces you to look at it begin to understand it. On a side note too, having it as your development environment makes building SharePoint web parts a lot easier.