Coming with 12.04 precise pangolin, Wubi will support Lubuntu. Preliminary tests using the daily live CD and this wubi.exe are successful. Note you have to logon blind for now while bug 918401 is sorted out.
I found that Lubuntu ran very well on my junky old test laptop - while it was very sluggish with 11.10 Ubuntu. So Lubuntu might be a better option for older machines.
If you're going to be testing Wubi remember to use zsync to keep your test ISOs up to date. It's a great tool.
It'd be nice if Wubi could install from a USB stick with 12.04 - since the desktop CD ISO is supposed to be around 750MB it won't fit on a CD so I expect many people will try with USB. Waiting on longstanding bug 461566.
Also, it'd be nice if some of the obscure error messages that have appeared since 11.10 could be replaced by human-understandable text. For example "WindowsBackend object has no attribute 'iso-path'". I suppose it's no better than 'Permission denied' being used indiscriminately, but I suppose we were used to that.
For the 'preinstalled image' install method, I'd like to see an easier way to override the kernel boot options for users with ATI or NVIDIA cards requiring 'nomodeset'.
From a personal point of view I'd like to have an installable Wubi migration gui app ready - but it's not looking like it will happen in time.