I think it is always a good idea to keep on top of any changes to the products you are using and this includes knowing what hotfixes have been released since the latest service pack. To this end I've produced a table of the hotfixes available for MSMQ. Hotfixes are cumulative so you only need to install the hotfix with the highest version number.
Of course, ONLY install the hotfixes that resolve problems you are seeing or expect to see.
Windows 2008 R2
Windows 2008 "R1"
Windows 2003 - post-sp2 hotfixes
Windows XP - post-sp3 hotfixes
Windows 2000 - post-sp4 hotfixes