Yes, the sleep process is seemless. The only time I've ever seen any change caused by a sleep was while debugging some Java code. There was a message in the Java error logs where I took a break and closed the lid, saying "(time) System went to sleep ... (time) system woken from sleep." The JVM was automatically restored and kept running as if it had never been interrupted.
The only processes I don't interrupt by putting the system to sleep are ripping CDs or burning CD-Roms.
If you're playing a DVD and close the lid, then when you wake up it will be paused (at least, last time I checked it did).
The process is fast and seemless. Waking from sleep takes about 1 second on my older iBook 500, and is instantaneous on the newer machines (I've heard from people trying to open a powerbook lid quickly to "catch" the mac sleeping. Cute, eh?)