Hi,
It will force you to install MDAC 2.5 before you can continue the service pack installation. That should be a good thing, but it might impact you.
SP4 fixes a problems introduced by SP3. For example, just try to run the Visual Component Manager in SP3. You can't do it because SP3 screws up the registry entries needed to be able to add it in. I am running SP4 and haven't encountered any problems.
Tom