I ran into an issue at work where sometimes an application would have two “Help” menus, on OS X 10.5 “Leopard” (but not on OS X 10.4 “Tiger”). The problem was interacting with the UI before the application had finished enough of the AppKit-initialization process.
The application had to install a component, which involved displaying authentication dialogs and such. Because the component was necessary for the application to work correctly, I thought it would be safest to do this as early as possible. But displaying a dialog in code called from awakeFromNib ended up being the cause of the double Help Menu issue.
Waiting until applicationWillFinishLaunching: or applicationDidFinishLaunching: to interact with the user fixed the problem. (In my case, it was safe to defer the installation until then.)
I am not aware of any other issues from putting up a window “too early” … however, it seems to me that doing it is asking for trouble. The AppKit/Cocoa environment obviously isn’t 100% ready at that point. Why risk running your code with half-baked libraries if you don’t have to?
Whenever possible, I will defer “first run” behavior until applicationWillFinishLaunching: or applicationDidFinishLaunching:.