I don't often copy and paste between Windows under Parallels and OS X. But it seems like every time I try, it doesn't work.
I've discovered one fix is to restart Windows. (Just suspending and resuming is not sufficient.)
I'm guessing the problem is that the Parallels Tools that run within Windows are getting messed up.
This is annoying because restarting Windows is not the speediest process.
This is on Parallels 4.0.3540 November 22, 2008 running Vista.