Have your product key AT YOUR SIDE before you start. Be aware that at some point in the installation process the computer will restart-and you'll probably get a "press any key to boot from CD" type prompt; once you've gotten started, NEVER choose to boot from the CD. This is one of the biggest PITAs in installing XP, and it may have been left in Vista. Be prepared to keep yourself hydrated-this process could take a while.
Oh, and make sure you have the driver disc (with Leopard that's the Leopard install disc) handy for when the basic installation finishes-it's quite possible that not much will work without those drivers.
You don't mention what Mac you're installing this on. Make sure you don't have anything plugged into the computer except your keyboard and mouse-NOTHING ELSE AT ALL. And I mean a wired, USB keyboard and mouse, too. Wireless keyboards and mice are supported, but not during installation, since they need drivers themselves.
Enjoy "the dark side" but come up for air and back to OS X now and then, ok?