No problems on Vista though. If it's run on Vista you lose like 15fps, but considering it will play at 150 odd fps (with my hardware natch, YMMV), that's not a problem .
A friend of mine who has a very nearly identical setup to me on xp actually had a lower FPS than I did on vista. The only difference in spec's are different component manufactures really. It might be down to the relatively fresh install of vista compared to his 6 month old install of XP and his complete lack of care when it comes to spywear and what sites not to go on if you don't want it
Not much of a difference between my machine (C2D E6300@2.7Ghz, 3GB ram, 7900GS) and the g/f's machine (C2D E5500@Stock, 3GB Ram, x1950 Pro 512MB), I run XP and she runs Vista. Both play just fine though, not checked FPS but hers feels "smoother" as such.
HL2:EP2 is runing around 30 - 50 fps on my Vista Laptop, 40 - 60 fps on my Desktop, running XP. I don't notice much of a difference, and to be honest, the only reason it's not running the same is that it's a laptop and has less power than my desktop. Seems to be pretty even each way.
id say go with xp - i had 60fps on xp at 1280x1024 all maxed and now i get 20 on vista 1027x768 recommended settings in episode 1
then something is wrong with the way you have configured your system!! do NOT blame user error on an OS!
I think the only decision to be made is 32- or 64-bit. There are rendering differences between both versions, assuming the new games carry on the revisions of the original Half-Life 2 64-bit patch. They're very minor, I admit, but were interesting to see.