I run XP dualboot with Slack and I'm very proud of it
The only and the main thing that you should REMEMBER is: don't install LILO/GRUB in MBR!!
It can ruin everything!
Here is the way I did it:
Installed LILO in MBR (I'm very sorry of that.. now).
Made a copy of the MBR using 'dd' and saved it to a file called bootsect.lnx
Booted from a win98 startup disk.
Installed a win98 (about 10 minutes work)
Over this installed winXP (new installation, not upgrade, using FAT32 as filesystem)
Copied bootsect.lnx to the win partition.
Added following line in boot.ini: C:\bootsect.lnx=" Linux "
Enjoyed winXP :P