One problem with sticky keys is that there is a short delay before sticky keys get registered. If for example you press shift and z immediately after it, z is not capitalized. See [this question](http://superuser.com/questions/522239/lag-in-sticky-keys-for-mac).

[KeyRemap4MacBook](http://pqrs.org/macosx/keyremap4macbook/xml.html.en) has its own implementation of sticky keys which doesn't have that issue.