I upgraded to WP 2.0 last night, and it all went smoothly with the exception of this.
When I visit a directory that is meant to prompt me for a username/password (i.e., /stats/), WordPress somehow overrides that and decides to deliver a "404 not found" error. This *was* working just fine before. I noticed it with the /cgi-bin/ folder as well, but I attributed that to my own error because it was before I knew my stats directory was also failin.
I am guessing it is something in the .htaccess or auth files? Help would be most appreciated. I searched but didn't find anything on this, and I live for my stats. Yes, honestly I am that sad. ;-)
ETA: This post seems to cover a lot of the issues.