It’s a never ending task really.
Most of the core server components update automatically, as long as I remember to kick off an update process once in a while, its everything else that you need to keep a eye on.
The server has a WPMU installation on it which has to be upgraded, as do all its plugins, and then there is the WP install and its plugins, then there’s the photo galleries which use Coppermine which has to be updated.
Even when I upgrade the server it can trip you up because upgrades on the Apache server / php packages usually break eAccelerator which then has to be recompiled.
Still its keeping me busy