I have upgraded the firmware on both my D800 and D800E.
Very quick and easy. No issues.
I didn't have any problems with the original firmware, so don't really expect to see any improvement in performance - but it's quick, easy and free, so why not.
I notice that the D4 firmware upgrade states, "Images are sharper and appear more three dimensional.". Oddly, I never heard anyone complaining about D4 image quality before and wonder what they have done to secure such an improvement. Obviously they weren't worried about image quality on the D800/E models.