My current project at work is a Windows Forms application. Even though I've been programming .NET almost daily since it's introduction, just about all of what I've done is web based programming using ASP.NET. The non-web code I've written has been for the most part libraries (DLLs) to use in web apps.
Most of what I know about thick clients comes from doing work in Visual Basic 6 so while I usually know where I'd like to go with something, I find myself hitting a wall with how to do it in VS 2005.
An example of this would be this morning, trying to figure out whether the Locked property for controls is ported to .NET Windows Forms. Unfortunately it's not - the Locked property you find has to do with resizing and moving, not making controls editable.
Fortunately MSDN has a great resource here for people making the transition that lets you see Visual Basic 6.0 and Windows Forms compared directly.