I'll admit it, on my last install of these things, I took the easy way out and went with the FoxServ package. It was just plain faster than dl'ing and installing them all seperately.
There weren't really any quirks except setting up the Apache modules. But you'll see in the foxserv forums that it was noted how to do it painlessly and I've had no problems.
And if you want to set up a mail server to go with your WAMP setup (Win/Apache/mySQL/PHP) I would recommend Mercury Mail. I fought with a few other server packages for HOURS ... MM set up and had me emailing myself and adding users in about 20 minutes. (Of course, you'll want to have a domain name for the mail server idea to work. Dynamic DNS works - I use www.dyndns.org for a domain name to my cable connection at home.)