I just bought the episodes from Steam (didn't realise they were available outside the USA before now :(), and I'm having a few issues with Vista.
The biggest problem for me is the sound - I have a 5.1 speaker setup and while music comes through my front speakers ok, all sound effects and speech comes through my rear left speaker only. It's really disconcerting :)
I tried changing my sound settings so Vista thinks I only have 2 speakers plugged in, and it comes through correctly in what sounds like stereo - so while it makes life harder when I want to play it's by no means a deal breaker.
My sound card is an onboard Realtek AC97 audio, from a motherboard that is a little over 3 years old (MSI K8N Neo2 Platinum).
I'm also seeing the access violation errors in the _drm.exe files as mentioned in other threads. DEP is off except for windows services. The really weird part is that every second or third load it comes up and plays without any problems (except the audio as I mentioned above). This happens for all 6 episodes - I've managed to load each of them at least once.
I noticed in other threads about this issue that there is an unreleased version that may fix the access violation - I'd be happy to try it and see if it helps the audio problem (assuming I can even use it with the steam editions).