Apple has released the latest significant update to Mac OS X 10.5 (Leopard) today. You can read their online support article for the details.
I've always recommended that users do a full and complete backup of their system prior to such dot upgrades (say, from 10.5.2 to 10.5.3). This isn't always practical, of course, but it's always a good idea. After doing the backup, I launch Disk Utility and have it verify my startup disk is OK. You can run Disk Utility and do the verify procedure while logged into your Mac, but if it detects problems, you'll have to repair it using a different methodology. While your using Disk Utility, why not also do a "Repair Permissions" just to make sure your house is in order first?
Also, I recommend trusting Apple's built-in Software Update tool to deliver the appropriate version for your computer. Other admins recommend always using the Combo update, which can be downloaded from Apple's website, but I think this is generally unnecessary. It probably can't hurt, but I'm dubious about claims of better success rates.
Another step that some people take, which does a bunch of handy things at once, automatically, is to boot first into Safe Mode, the reboot normally before applying the update.
If you hold down the shift key while booting, you'll enter Safe Mode. It deactivates third party extensions, launchd and startup items, as well as run
fsck and clear out a few system caches, so it's an easy step to take that helps ensure things are copacetic before updating. Again, not necessary, but not a harmful action.