You can expect disk performance to be a bit lower (bouncing through NTFS isn't exactly ideal), and you're still somewhat at the mercy of Windows. If your Windows install goes pear-shaped, you may lose access to your Wubi install, too. The reliance on NTFS would also give me heartburn in general, but that by itself probably won't be a serious reliability problem.
Other than that, I can't think of anything that should be different. If you do find a problem, report a bug! :)
There is one other catch noted on the Wubi FAQ in addition to performance/reliability: Hibernation isn't supported.
(I'll note for the record, however, that even with native installs, I've rarely had reliable suspend or hibernation support in any Linux distribution, including Ubuntu.)