I'd feel very very nervous about using XP without SP2, especially if you are on a DSL or cable "always on" connection. It is an operating system that suffered from too many security issues, and the reason for the release of SP2 was to strengthen it against the trojans and worms.
Even if you don't *see* a problem you would need a network sniffing tool to be confident that the computer is not already 'owned' in a zombie network. This is currently the biggest risk with an unpatched computer, and often goes undetected for a long time because the trojan horse that takes ownership normally has a small footprint and is relatively well-behaved.
