Hmm.. I'm pretty sure you can find all kinds of answers to this question elsewhere on the forum but I'll let you in on a few:
*Firmware upgrades will/might kill your unlock
*No support from Apple if your phone gives out before it's year of coverage is over.
*Visual v-mail won't work
That's about all I can think of. The only thing I would be afraid of is not being able to upgrade your phone if things get good with the future of the iphone software. Good luckage!