OS3.9 you get everything installed automatically while with WB3.1 you have to install it manually.
And that's where the biggest problem is. Assuming you already had 3.1 installed before, you likely already have patched many things (big HD support, various WB patches, for example) and with the installation you might end up "patching something twice" and finding the problem... That might not be too easy. For example handling big HD's can be implemented in seweral different ways, some of which are specific to some hardware (Power Flyer, which I have, for example)
You might get bored hearing about big HD support, but that's where I had most of my problems :-)
3.5 was supposed to come with full TCP/IP (it was supplied with MiamiDX demo, and the full version was to be made available later, which never happened)
I was rather disappointed (just becouse it was one of the most hyped features) to find out that 3.9 still didn't have a unrestricted&legal TCP/IP, but I already had one from Netconnect 3, so it didn't bother me too much :-)