I posted an answer on LinkedIn in response to a question and figured it would make an OK post. The question was "Have you ever done a Thin Client Implementation? What are the stand-out issues?".
In our thin client implementation, we used really cheap HP thin clients ~$185 and Microsoft Terminal Services (Read about it here. I think thin clients work well if you have a large amount of users that use the same applications (at least in a terminal server/citrix environment). VMWare VDI may support users with more varied requirements, but licensing on that was a little unclear when we did the analysis.
We currently run over 200 data entry personnel on thin clients (one application that uses very few resources so it is an ideal application for thin clients). We run another 150 call center agents on thin clients also. These users need more resources because they run some web-enabled applications that require more memory and processing power.
I agree with the comments above (I won't steal anyones thunder so if you want to see others answers you can search LinkedIn), but would add that you should disable Windows Error Reporting in any shared Windows environment. This article explains this and has links to configuration documentation. If you ever need it for debugging, you can always re-enable it.
Also, make sure you customize your group policy and login scripts for the terminal servers. You need to trim them down as much as you can because if you have a lot of users logging in at the same time, it can be pretty slow.
Make sure your helpdesk is trained on how to quickly identify what possible causes of slowdowns might be. Many times it is just a program with a memory leak or stuck on some process that is slowing down the entire server. If you can quickly identify the user and have them shut down the offending process, you can avoid too many complaints. Also, be proactive and set up performance logging and alerts to notify you of high utilization on the servers.
Finally, make sure your machines are protected (firewall, antivirus, IDS/IPS, etc.). I have spoken to others that have lost entire citrix/terminal server farms to a virus outbreak. While you get the huge benefit of reduced administrative effort by only having to support a fraction of the machines, you also increase your risk if you lose one or many.
Oh yeah and no DirectX support at all and no microphone (client-to-server audio) with terminal services without third party add-ons.