If you are enlisted in a TransactionScope or CommittableTransaction then I would strongly recommend that you do NOT explicitly create your own local transactions using begin transaction or SqlConnection.BeginTransaction. 
TransactionScope/CommittableTransaction are a different 'family' and are mutually exclusive from begin transaction/SqlTransaction
Therefore I would disagree with Saif Khan. It's true that System.Transactions has performance issues on Sql 2000, so it might be better to use SqlTransaction or begin transaction instead. However, if you do that then you should NOT also use a TransactionScope/CommittableTransaction.
By the way, the behaviour that Marc Gravell described has been changed in .Net 4.0. Even if you don't use Explicit Unbind, it is no longer possible to have some commands rolled back and some committed. (However he is correct that in older versions you should use Explicit Unbind).