I did an install of Ubuntu 6.1 server. The install seemed to go fine, but at the reboot, I got a screen full of "Unknown interrupt of fault at EIP" and a bunch of numbers after GRUB but before real booting. This is a non-GUI install.
The Ubuntu server install CDs do not seem to be compatible with Parallels. Fortunately, you can use the normal i386 iso and then just add on the additional server components with Synaptic. The server CDs have never worked with any Parallels build that I know of.