Any other Linux users out there agree with me on this? 
Upgrading from one major version to another (for example 2.4 to 2.6) on old systems can cause problems, many programs interacting with kernel at low level need recompiling too (iproute, iptables etc.), sometimes programs relying on hardware need upgrading too (like XWindows?), not to mention device drivers, which were available for older kernel and are no longer maintained by authors. I this case I would rather choose to upgrade whole system.
However, I've never had problems with upgrading kernel from one minor version to another, I do it quite often, even remotely. In this case the only pain in [censored] are drivers for less common hardware, they need to be reinstalled too, often together with applications using them.
Do You mean any particular problems ?