I’ve just upgraded this blog to WP 2.6 and only had one headache with it. When I updated the database, all my category names disappeared. WP still kept the cat_id numbers on each post but the categories had no name so you couldn’t click through on them.
Investigation in MySQL Admin showed that the table wp_categories had disappeared and the table wp_terms had appeared. Luckily they had the same number of rows so for me it was a case of taking the data from my sql backup and hand inputing it into the relevant rows in the new table. I only had 19 categories to fix though.
Found some more info on it here.