I've not done any Etch->Lenny in-place upgrades yet, but if my experience of a number of Woody->Sarge and Sarge->Etch upgrades is anything to go by all is likely to go smoothly and any warnings you need should be given by the package configure scripts as they go on (unless you've changed the prompting options for these on your system.
Having said that: I always take a full backup of the system (i.e. take an image of the system's drives to another machine if you have room somewhere on the network) before attempting the upgrade in case something goes badly wrong, then you can roll back with relative ease.
Also, allow plenty of time. Almost all your installed packages will be upgraded in the "dist-upgrade" step and this will take both time to download, time to unpack, and time to ask you questions were needed. For this reason too make sure that you have a lot for free space, particularly on the partition holding /var/cache where apt will download all the updated packages to during the process.
And make sure you read through the official upgrade document - that will list gotchas known to the release build teams - and don't be tempted to skip or merge steps as the prescribed order will have been tested quite thoroughly and if there was a faster way that was not likely to cause problems anywhere they would probably have found it and included it instead!