One thing that's not really pconnect related but bloody annoying nontheless:
PHP's connection-pooling makes it so that if you open two connections to the same database using the same credentials, you will get the same connection identifier twice. So you can start a transaction on the first 'connenction', and close it using the second 'connection'.
I have not been able to get this behaviour to work through pconnect with two different scripts, but that may be because I'm such a terrific programmer :-)...and modestg too.