Unfortunately, it's a huge pain in the ass when updating. Packages in PPAs are built with a specific distribution in mind, and distribution release x packages aren't supported in release x+1. I think the recommended routine when upgrading is to purge all custom PPAs you are using before you upgrade. And then add them back, if available, after upgrading. Of course, you might not even need the PPA since x+1 might already have the program version you need.
Still, upgrading is already a somewhat fragile process, and using lots of PPAs makes it even more prone to breaking. The upside is that it's really easy and safe to clean install over an existing install, particularly if you've got /home on it's own partition.