I tried using the VNC mode and it choked and died, making me re-download a bunch of stuff when I ran it in text mode. Just an FYI, not saying it will happen to you, but warning that it might. Honestly, I didn't see much difference running in VNC vs. Text, you get the same options.
It appears that over the internet installation is no longer a recommended way to get CentOS. However, I can not for the life of me convince my DVD burner to write the CentOS 5.4 ISO. I did however have a live CD. So I found a nice guide for 5.3 NetInstall and adapted it, very very little has changed.
The mirror list is here and it just so happens that UNL is a full mirror. So, thanks UNL!