* Rand has already covered one of the major issues with sitemaps, which is that it can hide site architecture issues by indexing pages that a normal web crawl can't find.
* Competitive intelligence. If you are telling the search engines the relative priority of all of your pages, you can bet this information will be of interest to your competitors. I know of no way of protecting your sitemap so only the search engines can access it.
* Generation. This is not actually a problem with sitemaps, but rather a problem with the way a lot of site maps are generated. Any time you generate a sitemap by sending a program to crawl your site, you are asking for trouble. I'd put money on the search engines having a better crawling algorithm than any of the tools out there to generate the sitemaps. The other issue with sitemaps that aren't dynamically generated from a database is that they will become out of date almost immediately.

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