Nope, you can run SP2, or even 1, you can turn off automatic updates. I would recommend that if you do, you might want to stay away from .net and active X applications, as both tend to have security holes.
I have not had good luck installing SP3 on a SP2 system after it had been in service for a while. My personal home computer was installed with XP w/SP3 and I have had zero problems. Security is a bit tighter as well.I have not had the oppertunity to install SP3 after a fresh XP w/SP2 installation from.