Ehm, is there any reason not to upgrade?
I know that you might redefine the passwords, but otherwise MySQL has been fairly compatible. The worst things to expect are:
4.1: password hashes are changed. If you connect with pre-4.1 clients, you may need to define users with the OLD_PASSWORD function.
MySQL has become stricter. Nowadays, fields can be defined without a default value and NOT NULL. Also, you will have to set ALLOW_INVALID_DATES in the sql_mode setting if you use '0000-00-00' as the default for a date.
MySQL can now handle character encodings. (send a "SET NAMES utf8;" command directly after connecting if you want to use utf-8; By default latin-1 is used.
As you are on Windows: add a line "lower_case_table_names=2" to my.ini directly after installing/upgrading (in the [mysqld] section). This way, MySQL behaves as it should with case-insensitive systems like Windows.
Hope this helps estimating the pain of upgrading versus patching.
+++ Despite being wrong in every important aspect, that is a very good analogy +++
Hex (in Darwin's Watch)