From a .Net programmer perspective, what are the consequences of still sticking with Windows XP despite there are Windows Vista, 7 and very soon 8? How does having windows XP limit programmers development in .Net platform?
The latest .NET frameworks will not run on windows XP, nor would Visual Studio 2011 be a supported option (it will probably work, but if you have problems, you are on your own).
You will not be able to create any metro applications as WinRT will also not be part of XP, ever (there is no way MS would backport a whole new OS API to an unsupported OS).
Your question raises a few questions of its own. What hardware do you have at the moment? Do you have any desire or ability (financial primarily) to upgrade? What are you coding as a hobbyist, games? Web sites? utilities?
Windows 7 is a worthy upgrade to Windows XP simply because you can happily run with more than 3 GB of memory. In use it's nicer than XP, a good incremental improvement. On the development side, well IE9 is Windows 7 or above only, so if you're doing ASP.NET stuff that could be a consideration. It runs happily on everything I've put it on, so I have it on Netbooks with ickle processors and 1 GB right through to 12 GB i7 based desktops. Generally I think it's a worthy upgrade you'd like, but it doesn't affect you too much as a developer unless you want the latest and greatest.
Windows 8 is still a year away, but you can download the developer preview which includes an early version of Visual Studio Express 2012. You can download that and install it in VirtualBox (didn't work for me in vmware, didn't try virtual PC). It will give you an idea of where they are going. Windows 8 is different, the whole operating system stack is different from WinRT through to Metro apps. It will still run legacy (I.e. your stuff) though.
I've tried to include some extra information that doesn't directly answer your question but might help you ask a different question. It really depends on what you're developing. For info, I'm at work at the moment using Visual Studio 2010 on an XP machine. The Windows 7 roll out will happen over the next 12 months or so at least and we're actually ahead of a lot of similar companies (banks). My neighbour's PC uses XP and she has no reason to upgrade. I installed Chrome which she now uses instead of IE and suddenly the machine is "10 times faster, what did you do you amazing person you!" etc etc.
If you're a software developer (vs. web developer), you may have another concern: Windows XP is old, it has an old UI, not a very good user experience, etc.
People are usually inspired by the software they use when creating their own. For example when it comes to designers, most very bad web designers I knew were using more often the very bad quality websites, not the professional ones. The ones who used for example Stack Exchange websites regularly used to do a more professional user-friendly websites design. The ones who used websites like Apple.com had the best designs. In the same way, a person who never used a touch screen will not think at optimizing his application for touch.
As a result, if you still use Windows XP and no other operating systems, you may have a risk to start creating Windows XP style applications from the visual design point of view which, in 2011, is not appreciated too much.
You can of course reduce this risk by either use regularly other operating systems (for example Windows XP at home and the latest MacOS at work), or be always up-to-date about how the new software is done, including by watching webcasts.
As of today, I don't see any glaring issues. When I rode on the train, there were plenty of corporate laptop users running XP (At least that's what the sticker said.).
Our company is still on XP (a computer I frequently use remotely) and I use Windows 7 at home. Newer versions of Office seem to run better on Windows 7. We had a couple users that created gargantuan Excel files (The screwed one up so bad, MS couldn't fix it.), so the company bought them 64 bit versions with tons of memory.
If there is a hardware upgrade in your future, make the leap to Windows 7.
The biggest boon, outside of a things like security and a decade worth of kernel improvements, is having IIS7 locally. If you are doing web development on XP then you are stuck on IIS5 and at worst you should be deploying to IIS6 (Windows Server 2003) if not IIS7 (Windows Server 2008). And IIS 5/6 are entirely different beasts than IIS7.
This probably matters a bit less with IIS express about, but there are sometimes where IIS express don't quite cut the mustard and you need a more full-blown native stack. Especially when debugging strange IIS-related issues. Things like simulating app pool permissions are a bit tougher there.
Fairly soon you will find that the latest versions of programming tools won't run on Win XP, or if they do they will be sub-optimal in some way.
As an example from my website: In just under 3 weeks, out of 850 downloads for a new .NET tool, just 4 were for XP. There's little incentive therefore to keep doing a specific XP build/test. There have been a lot more downloads for the Windows 8 (dev preview) optimised build than for XP and Win 8 has only been out a week. Note: This case isn't quite a fair comparison, because the XP tool version requires an msi installation instead of a .exe which needed no install, this probably deterred some XP users.
The fact that the latest tools won't run optimially on your XP machine, may not be an issue for you There must be a lot of XP users/programmers out there still, but many probably already have the tool set they need.