We went last year from 12-29-02 to 01-02-03. The crowds were terrible through New Years Eve. The first day we arrived, we were in MK around opening and had only rode three rides by 3:00pm - AE, SM, and HM. We didn't use fastpass the first day, used them from that point on but sometimes fastpasses got gone so fast that the return time would be several (4-5) hours later. It was the worst crowds I had ever seen and we usually go around first of August. We had been told by several CMs that the parks would be gridlocked on New Years Eve and they were right. They said that MK and MGM were the two worst crowded and gave us advice to pick a park that we wanted to be in at midnight, get there early and STAY THERE. Parks often reach capacity on NYE and they actually shut down the turnstiles and won't let anyone else in (we were told that they try to let resort guests in, but won't guarantee). IT WAS GREAT. Standing on main street, looking toward the castle you will see MK's fireworks and if you turn around and look at the exit, you can see Epcot's fireworks too!!! Mickey comes across on loudspeakers and counts down until midnight. CMs give you hats and horns to blow - only bad part was that it rained!! Also, there are tv crews at the front of the park facing the castle because it's on Dick Clark's! On New Year's Day, crowds had diminshed by probably 60%. It was great (crowd wise) from that point on. It was chilly in the mornings and evenings, but I would wear capris and a t-shirt under a sweatshirt in the mornings, then tie the sweatshirt around my waist by mid-morning.
You have to see Obsorne family lights at MGM. They will give you "3-D" glasses that make the lights look like angels - don't throw them away - take them home because it will also work on your X-mas tree lights (my tree was still up when we got back). Also, don't miss Candlelight Processional at Epcot - last night will be before NYE, but it is wonderful. Make dinner reservations ahead of time or you'll be waiting quite a while. You should be able to swim mid-day, but too cold early in the mornings and late at night. At least one water park was open while we were there, but crowds were so big that we had to spend all of our time in the parks to see everything. Thats all I can think of now, but if I think of other tips, I'll post again.