One of the new features of Windows 7 is the Remote Desktop Client (RDC) 7.0, which finally provides decent multi-monitor support. See the Terminal Services Team Blog for the nitty-gritty details. Some caveats though:
1. The functionality is only available with the Ultimate or Enterprise version of Windows 7 (and Enterprise is only available through OEM or Volume Licensing).
2. There is a RDC 7.0 client for Windows XP. I didn't find it through Windows Update though, I had to search for it. However, that will only help you with multi-monitors if you are remoting from XP into a Windows 7 (or Windows Server 2008) machine. If you are remoting from Windows 7 into Windows XP, about the best you can hope for is the "span" mode.
As a side note, if you are remoting into a multi-montior XP machine and want to support multi-monitors, I've found the SplitView utility indispensable. You do have to have the resolution of your monitors exactly the same though, as all the utility does is takes the "span" view on the remote machine and break it into separate screens.