To Clarify:
ALL clients require a Terminal Server Client-Access License in order to make the Citrix connection.
Windows 2000 Pro (and Windows XP Pro to my understanding) have their own TS CAL in the Operating System, and therefore do not need to have CALs installed on the server-side.
Windows 9x, UNIX, Linux, MAC OS, Thin Clients, will all need to have CALs purchased and installed on the TS/Citrix server.
There was talk at one point of MS also giving Windows CE this same client-based license, but I haven't heard one way or the other yer.