I'm not aware if anyone's noted this - or if there's a Proper bug tracker for WordPress, but there's a bug in the Links area of the administration.
I want to change multiple links to a new category. So I tick the boxes, pull down the dropdown list at the bottom and click Go. No result.
This is in a slightly modified WP1.2.2-to-1.5 upgraded install.
I'm still trying to work out the whole API, especially with themes (love them, by the way!), but I thought this rated a mention.