>Hello, is it *always* good to install the latest service pack? Are there any incompatible problem between the new service pack and the programs written with older service pack?

Like all good questions, the answer is "It depends". As Vlad said, you can find out what's in the latest service pack and decide if it corrects something or adds something you need. If it doesn't then there is really no need to upgrade, IMO.

As for incompatibility issues, there can be some. Usually there is none going up but there can be going the other way. So if you upgrade your development environment then you need to upgrade all your client's environments as well. Sometimes this can be very painful.