You lose widgets, most notably the HTC clock widget and accompanying weather pattern. It's almost enough for me to switch back, honestly, but I think I like LP a little better.
I like how you can put it in horozontal mode, and you can have a scrolling dock. Also, I cut down on homescreens to five. Also, you can resize widgets so that they take up a difdferent amount of space which is handy. The multitouch "expose" feature is there, but it isn't as fully featured. I like the App Drawer way better - go into the settings and enbale the 3d one. Plus, you can hide icons from it that you don't want from showing up, which is awesome.
Overall, I think it's worth it. Granted, I did buy LauncherPro Plus to get the extra widgets, and I bought Beautiful Widgets to use as a clock, but the only thing I really miss is the Sense clock widget and the weather animations.