I have had to do some work on theming comments for a while now and have hit some serious limitations with the comments module.  It is very hard to change how comments are displayed, 5.0 has some improvements, but there are still a few issues. Here is my newest one:

I want to render comments flat (without threads, in date order) but I want to add a link to the comment that this comment is in reply to. However, I cannot actually tell whether the parent comment will be displayed on the page. This will only be an issue ina few rare occasions, but, it will still mean that someone will click a link that says "This comment is a reply to ...", but it will go nowhere. 

The problem is that each comment is rendered as it is retrieved from the database. We need to change this t be a two pass process, with each comment loaded into an array and then the whole array passed to a themeable function that will render them all.