Are there other sites still using SQL Server with codepage 850 or codepage 437 for their sql scripts? Using one of these codepages is a disaster when scripts are edited by Visual Studio or TFS, but sometimes it is difficult to change old standards. 

What must be observed, when changing to the current windows defaults?
I'm not sure this is an answerable question - yes, there are always sites on the web using wacko codepages for their defaults.

The most obvious problem when dealing with different collations is joining them together (cross-database queries), especially TempDB.  If TempDB has a different collation than your database, you can run into problems just creating a temp table and joining it to your data.

http://www.sqlskills.com/BLOGS/KIMBERLY/post/Changing-Database-Collation-and-dealing-with-TempDB-Objects.aspx