It did not take long for Microsoft to release crm 4 rollup 2.  It is ready for download and it is a cumulative rollup which means all fixes from roll up 1 are included.

You can download it here:

Update Rollup 2 for Microsoft Dynamics CRM 4.0 (KB 959419)

There are many new fixes included in this rollup.  An additional advantage is that this rollup is much smaller than rollup 1.  Check out these file size differences:

Client install for rollup 1 76
Client install for rollup 2 4.1 MB  (and this includes all fixes in rollup 1)

So far we have not found any adverse effects of rollup 1 or rollup 2.  However, be very careful as customizations can only be moved (imported/exported) between servers at the same rollup level.

Update - a few issues have been encountered, but nothing catastrophic:

Issue 1 encountered.  After installing rollup 2 users are unable to publish workflows.

This is apparently hit and miss and does not happen all the time, but for some reason the rollup 2 sometimes does not make some necessary change to the web.config.  The fix is to remove rollup 2 then re-install rollup 2.  When in doubt try again.

If this does not fix it - then a manual edit of the web.config file is necessary. Apparently the installer has issues adding this:

existing lines here........

Issue 2 encountered.  After installing rollup 2 sometimes the IFD configuration is nuked.  After installing rollup 2 check the IFD settings right away.

Issue 3 encountered.  The installer for rollup 1 and 2 quits with an error with ..BuildVersion.

The error is:  "Action Microsoft.Crm.UpdateWrapper.DBRemoveAction failed.
Invalid object name 'demo_jody_MSCRM..BuildVersion'

This took MS many weeks to figure out, but the issue ends up being databases with a dash "-" in the name.  The installer currently can not handle dashes.  The workaround is simple.  Simply disabled, then delete all organizations with a dash in the name as they probably have dashes in the database name too.  Once rollup 2 is installed, those organizations can be installed just fine.