I cant remember at the moment.. Do you have to unroot to download and install an update? Or can you do it, and just get the new update and be no longer rooted?
If you attempt to install the OTA, it will (*almost* invariably) fail since you no longer have the stock recovery. The stock recovery is useful for pretty much one thing, and that's OTA updates.
If you want to accept the OTA update (rather than update manually, which I'll still always recommend), you have two options:
a) Unroot completely. If you do this, and you update to a brand new OTA that hasn't been rooted yet, you're stuck without root. This has been stated a million times, and we all know it, so it is what it is.
b) Do what the Unrevoked team suggests, and restore only the stock recovery, then accept the OTA update. In pure theory, this will allow you stay rooted (as in S-OFF), but you end up in a bit of a weird state. You have the stock recovery, an hboot that technically isn't rootable yet, and an unrooted ROM (of course, make sure you're on the stock ROM when doing this). Since you have S-OFF, you *should* be able to recover a custom Recovery and ROM, but if *anything* goes wrong, you cannot run unrevoked again. You have a chance of being able to recover fine, but not good enough of one for me to ever recommend this.
Of course, if you updating to an OTA that has already been rooted, and you simply don't care about your hboot version (bye bye old nandroid backups), then either of the above should be fine.