Soon you'll be able to run MSMQ 4.0 on both server AND workstation.
So to review, for those who haven't been looking at MSMQ 4.0 since Vista came out over a year ago, here's "what's new":
And here are the Knowledgebase articles specific to MSMQ 4.0:
I'll have a look around to see if I can find anything "fixed in SP1" but I don't think there was much that needed fixing.