Last week Microsoft released Service Pack 1 for Project Server 2010 and SharePoint 2010. To complicate matters on the same day, the June 2011 CU was also released and recommended to be installed at the same time.
A full list of the fixes and changes in SP1 can be seen here, and the June CU here. At the time of writing, the June CU has a number of known issues that must be understood prior to patching as they may impact your underlying SharePoint farm.
As for installing, make sure you have read and completely understand the Deploy Service Pack 1 for Project Server guidance on Technet, I would also recommend you read this article by Spence Harbar which gives some great guidance and advice on patching SP1.