While it's true that only WinXP will recognize a hyperthreaded processor, the other OS's such as WinNT and Win2k will actually see 2 processors. They just won't be able to tell the difference between 2 physical processors or 2 logical processors. Thereby, any tricks that Intel may have come up with on a software level to take special advantage of SMT will not work in those systems, however, those OS's will still see 2 processors and assign threads of instructions to each of them accordingly.
The problem is when you have two threads competing for resources, in which case performance per thread may actually decrease. Now, there have been a few rumors that this problem has been alleviated in HT v.2 which is being released with the new P4's. However, how Intel has resolved this problem is critical on whether the problem would still exist in older WinNT/Win2k OS's. If it has been resolved on a hardware level, then all of these OS's should be able to use HT to its full extent, however if the resolution is on a software level (i.e. tell the OS to put one thread over another only between logical processors), then you will need to use WinXP otherwise you will suffer the side effects of decreased performance with HT (although, to be fair, these decreases are usually within 5%).
"We are Microsoft, resistance is futile." - Bill Gates, 2015.