After using both PS CS2 and PSE 6/9 for a few years I have found that the only things that I miss a bit in that are in PS CS2 but not in PSE 9 are:
1. The shadows/highlights function in PS CS2 has an advanced mode that allows fine tuning a bit more and I use that sometimes. The one in PSE 9 is the same as the basic mode in PS CS2. Most of the time when using shadows/highlights the default settings of the advanced controls in PS CS2 are all that I use so being stuck with those default settings in PSE 9 is not much of a problem, but occasionally I wish I could tweak them a bit. For me this is minor.
2. The PSE 9 curves function is more basic than the one in PS CS2. Again, most of the time it is sufficient, but occasionally I would like a bit more control. To tell you the truth though, years ago before I had shadows/highlights I often used curves to try to do that, but with shadows/highlights I find that I rarely use curves for that purpose now anyway. For me this is minor.
3. Many functions in PSE 9 work with 16-bit files, but some don't. Since these days I mostly work on photos for the web this isn't a problem for me though. For me this is minor.
4. Color management is more basic in PSE 9 than PS CS2. It is sufficient for my needs, but if you publish your photos in magazines, etc. then you probably want what is in PS. If you make lots of prints at home then you may also need some of the additional color management functionality in PS. For me this is minor.
Maybe later I will post about some of the things that are in PSE 9 but are not in PS CS2 that I like.