I have installed, all three versions (2000, 2005 and 2008) in my PC. So far I have seen any issues..
I had an issue some time back, when I uninstalled SQL Server 2000, 2005, started giving errors (missing dlls) I reran the installation of 2005, and it got resolved.
This time I installed 2000 after installing 2005 and 2008 (in the order) but it works fine.
I do not know whether