I do OSX + Win and OSX + Linux on Parallels most of the time, the only drawback with the Air is there's not enough ram and perhaps not quite enough cpu to do it all at once. A single VM runs fine though.
Yes, the lack of upgrade-ability is always an Apple Mac fault, BUT the new ultrabooks will likely suffer the same limitations considering they are based on (slightly inferior) Apple-led Intel re-architecting of the PC innards.