I upgraded from NT4 -> 2000 -> XP without any major issues. AFAICT it was mostly just a file replacement process.
The DOSWin to NT upgrade path always seemed pretty flaky though. The demonstration cheated a bit by using a vanilla VMWare config; an actual PC would be loaded with crappy vendor drivers and startup software which complicated any upgrade.
Upgrading from the NT line to further along the NT line wasn't much of a problem IIRC. Upgrading from '95 to '98 to 2000 probably would be, if you'd actually used the machine. Registry rot from years of use would hinder this process.
The idea of a well-used registry from Win95 being still used in a 2000 or XP machine makes me shiver in horror.
The DOSWin to NT upgrade path always seemed pretty flaky though. The demonstration cheated a bit by using a vanilla VMWare config; an actual PC would be loaded with crappy vendor drivers and startup software which complicated any upgrade.