Yup, it's true... SQL Express has a 4GB limit. It's tough to get to 4GB for most normal things, but I'm building a data warehouse. This irked me and cost me around 2 hours while I cleared space on a Windows 2003 Server with SQL Server 2005 running on it.
It seems that SQL Server 2005 has a number of license limitations. I constantly run across them. A number of particularly frustrating ones have to do with SQL Integration Services -- aka DTS. Very annoying.