From time to time my brain remembers me that there is a major bug within wordpress in case of the re-instantiation of the wordpress database class. When a replacement class is in use, the original WPDB one will get re-created under certain circumstances instead of the replacement one. That breaks the modular DB replacement concept once introduced.
This bug is not widely known because right now not many users are replacing the database class. With wordpress 3.0 it will become more popular to replace it because currently it got replaced in the MU merge with a hyper-mega-f!#$-db (say it with scooter: hyper, hyper!) which just has an enormous overhead in single-site setups and contains of a lot of legacy code.
Just to remind: previous to the merge I did some overwork of the wpdb class for development purposes (refactoring, improvements, security, stability, optimization and all that stuff) and since the 3.0 release is comming closer, those deficiencies will be quite a hot topic sooner or later. You must imagine that the MU class is based on even older code, so this will be fun.
I wish we get the replacement related bugs out in 3.0 so that everybody is able to use the wpdb implementation she or he likes best without any flaws in the (currently broken) API. Go Go Gadget.