Pro features that aren't in Home Edition
The following features are not present in Windows XP Home Edition.

Power user
Remote Desktop - All versions of Windows XP--including Home Edition--support Remote Assistance, which is an assisted support technology that allows a help desk or system administrator to remotely connect to a client desktop for troubleshooting purposes. But Only Pro supports the new Remote Desktop feature, which is a single-session version of Terminal Services with two obvious uses: Mobile professionals who need to remotely access their corporate desktop, and remote administration of clients on a network. You can access a Windows XP Remote Desktop from any OS that supports a Terminal Services client (such as Windows 98 and, interestingly XP Home). XP Home can act as the client in a Remote Desktop session; only Pro can be the server.
Multi-processor support - Windows XP Pro supports up to two microprocessors, while Home Edition supports only one.
Automated System Recovery (ASR) - In a somewhat controversial move, Microsoft has removed the Backup utility from the default Windows XP Home Edition, though it is available as an optional installation if you can find it on the CD-ROM (hint: it's in the /valueadd folder). The reason for this the integration of Microsoft's new Automated System Recovery (ASR) tool into Backup. In Pro, ASR will help recover a system from a catastrophic error, such as one that renders the system unbootable. ASR-enabled backups are triggerable from XP Setup, allowing you to return your system to its previous state, even if the hard drive dies and has to be replaced. Unlike consumer-oriented features such as System Restore, ASR is not automatic: It must manually be enabled from within the Backup utility in Windows XP Pro. In any event, while there is a Backup utility available for Home Edition, you cannot use ASR, even though mentions of this feature still exist in the UI. Confusing? Yes. But it's better than no Backup at all, which was the original plan.
Dynamic Disk Support - Windows XP Professional (like its Windows 2000 equivalent) supports dynamic disks, but Home Edition does not (instead, HE supports only the standard Simple Disk type). Dynamic disks are not usable with any OS other than Windows 2000 or Windows XP Pro, and they cannot be used on portable computers. Likewise, Home Edition does not include the Logical Disk Manager.
Fax - Home Edition has no integrated fax functionality out of the box, though it is an option you can install from the XP Home CD.
Internet Information Services/Personal Web Server - Home Edition does not include the IIS Web server 5.1 software found in Pro.
Security
Encrypting File System - Windows XP Professional supports the Encrypting File System (EFS), which allows you encrypt individual files or folders for local security (EFS is not enabled over a network). EFS-protected files and folders allows users to protect sensitive documents from other users.
File-level access control - Any user with Administrator privileges can limit access to certain network resources, such as servers, directories, and files, using access control lists. Only Windows XP Professional supports file-level access control, mostly because this feature is typically implemented through Group Policy Objects, which are also not available in Home Edition.
"C2" certification - Microsoft will attempt to have Windows XP Professional certified with the "C2" security designation, a largely irrelevant status, but one which will not be afforded to Home Edition.
Management
Domain membership - Home Edition cannot be used to logon to an Active Directory domain. For obvious reasons, the Domain Wizard is also missing in Home Edition.
Group Policy - Since Home Edition cannot be used to logon to an Active Directory domain, Group Policy--whereby applications, network resources, and operating systems are administered for domain users--is not supported either.
IntelliMirror - Microsoft lumps a wide range of semi-related change and configuration management technologies under the IntelliMirror umbrella, and none of these features are supported in the consumer oriented Home Edition. IntelliMirror capabilities include user data management; centrally-managed software installation, repair, updating, and removal; user settings management; and Remote Installation Services (RIS), which allows administrators to remotely install the OS on client systems.
Roaming profiles - This feature allows users to logon to any computer in an Active Directory network and automatically receive their customized settings. It is not available in Home Edition, which cannot logon to an Active Directory domain.
Corporate deployment
Multi-language support - Only Windows XP Professional will ship in a Multi-Language version or support multiple languages in a single install.
Sysprep support - Windows XP Pro will support the System Preparation (Sysprep) utility, while Home Edition will not.
RIS support - See the IntelliMirror heading in the previous section; Home Edition does not support RIS deployments.
64-bit Edition
Microsoft is shipping a 64-bit version of Windows XP for Intel Itanium systems that mirrors the Professional Edition feature-set.
Networking features
The following networking features are not included in Home Edition:
The user interface for IPSecurity (IPSec)
SNMP
Simple TCP/IP services
SAP Agent
Client Service for NetWare
Network Monitor
Multiple Roaming feature
User interface features
Windows XP Home Edition has some different default settings that affect the user interface. For example, Guest logon is on by default in Home, but off in Pro. The Address bar in Explorer windows is on in Pro by default, but off in Home. During the beta period, Microsoft had intended to use a business-oriented shell theme ("Professional" ) by default in Pro and the "Luna" consumer theme in Home Edition. But feedback from corporate users suggested that everyone liked the consumer-oriented Luna theme better, and development of the Professional theme was cancelled. Other user interface features that are present in Pro but not Home include:
Client-side caching
Administrative Tools option on the Start menu (a subset of the Admin tools are still present in Home, however).