I've come across two cool WinXP TaskBar enhancement tools.
Visual Task Tips - This tool provides a thumbnail screenshot of each app when you mouse over the it in the taskbar. You may have seen this feature in some of the screenshots of the Windows Vista Beta, but this tool brings that functionality to Windows XP. I noticed the thumbnail is a somewhat live preview; just open up a video in Media Player and watch a somewhat choppy version of what's playing be shown in the thumbnail.
Taskbar Shuffle - This tool allows you to reorder the apps in your taskbar by dragging and dropping them. This isn't a major feature, but nice when you want to do it.
Both of these tools don't really support the task grouping feature of Windows XP, so you may want to turn that off in the taskbar settings. Maybe they will support this in the next release.
These tools are completely FREE, so there's no reason not to check them out. They are both currently at version 1.0, so they may not be perfect.