The "common" unknown devices that I come across include:
Wave device for modem.
If the modem is a speaker phone or similar modem, you need to install a second driver for the wave device. Even if you do not plan to use it.
System devices: (motherboard)
This is more of an issue with W98 and Me than W2K and XP. Windows doesn't always recognize the devices connected to the chip-set on the motherboard.
Installing the manufactures drivers almost always takes care of this problem.
Sound Cards:
These sometimes need 3 or 4 different runs of driver installation.
Then, you have devices that have been improperly removed or changed. These leave behind remnants in the registry and legacy system files.
Check both and remove any reference to hardware that is not there.
Unless the client requires DOS mode CD-ROM access, remove the DOS CD-ROM driver from Autoexec or Config.
Basically, you need to perform a manual system inventory and determine what devices are not properly installed.
For PCI devices, here is a link to a site with a great utility for logging whats connected to the bus.
http://members.datafast.net.au/dft0802/
Chas