So I'm calling UpdateLayeredWindow to do transparency effects, and it's failing with no error code set. Turns out it seems to be an issue with running the app through Terminal Services. Would have been nice for Microsoft to actually produce a useful error code, like, say, I dunno, "this API is broken with Terminal Services cause our coders didn't finish it" or something. Kinda like the multi-threaded apartment version of the IShell interface in Windows XP (oops, we ran out of time, sorry).
Seriously, people... documentation, it's what makes a platform usable for developers.