Thank you everyone for the comments so far. I really appreciate hearing from 
others as it helps me to build out a more detailed use-case. In addition to the 
earlier questions, I have one more:

How important is support of .doc?

I know that it is the standard upon which the publishing industry is built, but 
… It's a real pain to parse. In contrast, docx (the default file format in Word 
2007 and 2010) is very parse. It's basically an XML document in a zipped folder 
with assets.

I've already got a working prototype that can take a very simple LyX document 
and converts it to docx. Here's what supported:

1.) Syles
2.) Images/Figures

Expanding this prototype is pretty easy. Trying to support doc is hard 
(painfully hard). There are pretty good import filters for OpenOffice and 
AbiWord for docx. docx is supported in Microsoft Word 2007 and 2010, and users 
of 2003 can download a plugin which is capable of reading it.

If I go ahead with support for docx, I think I can write a full featured 
import/export plugin, including:

1.) Bibliographies using Word's native format and (maybe) Endnote (I've found a 
python library that can parse BibTeX and building export for these two formats 
is do-able)
2.) Cross-references (I still need to figure out how this is done in Word, but 
so-far, the docx standard is pretty easy to follow)
3.) Comments and Change Tracking

How to deal with maths is still up in the air. LyX offers the ability to 
typeset nearly anything mathematical, which means there's a very large set of 
markup to support. Exporting to MathML might be one option, but that would 
require Word users to install a plugin. Exporting to Office Math Language (the 
new math language in Office 2007 and 2010) is another, but proprietary. 
Exporting to MathType is a third, which is both proprietary and requires that 
users install an add-in (which they have to pay for). I'm not particularly 
thrilled about any of the above. I'll continue to research and report what I 
find.

In the meantime, hearing about what features should be supported would be very 
nice. Hearing your opinions about doc support (versus only docx support) would 
also be very helpful.

Cheers,

Rob

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