Regardless of what method you use to move to SQL Server 2k5, you should always back up your databases, DTS packages and all other relevant information. ESPECIALLY your DTS packages.
2k5 doesn't use DTS, it uses SSIS which was a re-written from-the-ground-up DTS. Dynamic properties no longer work and Active X scripts will cause a package to call the SQL 2000 DTS executable to run the package, so all your DTS packages will probably have to be redesigned when you upgrade.
I haven't heard of any retired datatypes, so your dbs should be fine. It's mainly the DTS packages you'll have to worry about.
Catadmin - MCDBA, MCSA
"The only stupid question is the one that *wasn't* asked.