Windows XP SP2 was distributed to manufacturers, beta testers, and developers earlier this week and will continue being rolled out to the general populace via automatic updates at the rate of about 25,000 to 50,000 random users per day.
It includes security updates to windows, internet explorer, outlook express, and quite a few optimizations to the way windows works.
It does increase security settings across the board and defaults the windows firewall (formerly Internet Connection Firewall) to on to help protect new users who get their brand new computers home and get an internet worm the first time they get online.
You can read more about it at
http://support.microsoft.com/default.aspx?scid=fh;EN-US;windowsxpsp2
While it may be available at mirrors and download sites in various places, and is even available at Microsoft's website for those who know where to look, I'd recommened waiting for the automatic update. Then it can customize it's installation to your computer using some of the new automatic update optimizations and only download the updates you need rather than the full 260+ MB network installation package that is used to deploy XP SP 2 over a network.
Though I must say, on a whole, it is very nice. The pop up blocking tool, info bar, the way html content in emails is blocked by default (so spammers can't track hits on their web pages downloading the pictures in their messages to validate email address for more spam) and several other features are very nice.