Your questions are pretty general and would take a long time to answer in detail, but would say generically, "Yes" it is worth the effort and "No", you should not see compatibility differences.
There are currently no 1U systems that have a "powerful" graphics subsystem, most of those systems will not support AGP. In the near future, you should see some that have support for PCI-Express x16, which with a riser card you add a "powerful" graphics card.
See Making Windows Applications Run Faster
' ">http://www.devx.com/amd/Article/21026 as one of many articles on the Web about performance.
As for 1U enclosures, there are plenty, see Where to Buy an AMD Opteron processor-based server