I've noticed some weird behavior with cut & paste. Cut seems to include an end-of-line and/or a carriage return at the end of the cut text. Since it's not visible, it can have some strange side effects. In my case, I paste some copied text in the middle of a file name in Word's 'save as' dialog, and the file name gets truncated at the end of the pasted text. The other problem, which may be Word-related, is that Word doesn't recognize that there's something on the clipboard when it's cut from PW. I need to paste it into another app (such as Notebook), cut it again, and then paste into Word. As I said, this may be Word, but it may also be the way Parallels Tools communicates the cut event to the Mac OS.
AHA!!! I thought copy/paste wasn't working at all, but it turns out some apps work and some don't. If I copy in either Word Mac 2004 or Word XP 2003, and try to paste it into any app on the other OS, nothing pastes. This is also true for Eudora 6.1 on the Mac -- if I copy something in Eudora, the XP clipboard doesn't recognize there's anything there. I think there may be other apps that don't work, but I can't find them now. Powerpoint (Mac & PC), Excel (Mac & PC), Wordpad (PC), TextEdit (Mac), R (Mac and PC), Matlab (PC) all copy and paste just fine.