With PHP5, the register_globals directive has been disabled. This is a major change in PHP. Having register_globals OFF affects the set of predefined variables available in the global scope. For example, to get DOCUMENT_ROOT, you'll use $_SERVER['DOCUMENT_ROOT'] instead of $DOCUMENT_ROOT, or $_GET['id'] from the URL http://www.example.com/test.php?id=3 instead of $id, or $_ENV['HOME'] instead of $HOME.
For more information, please reference PHP: Predefined Variables - Manual
Also in PHP5, the variables allow_url_fopen and allow_url_include remain but are disabled or turned OFF by default. This could potentially affect your PHP scripts if either of these directives need to be enabled or turned ON in order for your scripts to function properly. Unless absolutely necessary, these directives should be left disabled as it poses a slight security risk.
The new object model in PHP 5 makes programming easier and more efficient. Methods can be restricted to specified user groups. Through exceptions, the handling of errors becomes simpler.
For more information, please check PHP: Classes and Objects - Manual
XML support in PHP 5 has been updated and improved. LibXML2 has been implemented as an XML-Parser. Now, in addition to SimpleXML, PHP 5 provides a faster and easier way to manipulate XML.
More information can be found at PHP: SimpleXML - Manual
More differences between PHP4 and PHP5
There are other (usually) less significant changes between PHP4 and PHP5 which are documented on the PHP site at PHP: Migrating from PHP 4 to PHP 5.0.x - Manual.