as from windows 2003 you had to enable network msdtc for linked servers to work.
The security implications are as good or as bad as your implementation - make the rights tight and specific using stored procs and it should be fine- allow ad-hoc table queries at sysadmin level - well do i have to state the obvious. Performance is no better or worse than it ever was for linked servers - I've always attempted to only ever allow remote proc calls - ad-hoc table queries have the potential to go very badly wrong, but it's always been that way.
[font="Comic Sans MS"]The GrumpyOldDBA[/font]
www.grumpyolddba.co.uk
http://sqlblogcasts.com/blogs/grumpyolddba/