There's not much around yet that directly utilises DX9, so considering some folk have found it troublesome, it might be better to stick with the DX8 in XP.

That said, your applications may well have some functions that use DX8. If your video card doesn't have hardware support for DX8, like the older DX7 GeForce cards or even GF4 MX cards (still DX7), those DX8 functions will be implemented in software. The DX8 algorithms have been optimised a bit further in DX9, so there have been reports of modest performance improvements with older cards in DX8 games etc.