The 03-06 do have some interior upgrades as previously mentioned and have a speedo that goes to 120 rather then 100. The 05+06 also came standard with electric radiator fans instead of clutch driven fan
I have a 2001 Denali and it has a 120MPH speedo. It is Canadian originally though, so I can't override my running lights, they're always on.
The 03+ was better IMO. Double DIN is a huge plus, and the climate control is much better. E-fans are a very nice upgrade, I'm thinking about doing them to my '01.
I love my '01 Denali, wouldn't trade it for a '03 Tahoe or Yukon though. 6.0 FTW.