Doing email marketing right can be a fantastic addition to your marketing mix, but do it wrong and you might be better off not doing it at all. The main risks are:

• Branded a spammer - Without singling out any particular instance, even the best lists will get marked as spam occasionally because some people can't be bothered to use the unsubscribe links. Also some people have a ... strange ... definition of what spam is. What you have to be careful of though is an accusation that sticks. Always make sure people know what they are signing up for and that they confirm their subscription so you can point to clear and fair opt-in.
• Burning out your list - A certain amount of churn is to be expected. People leave lists all the time through no fault of yours. Too many messages, too often, or bad content to sales ratio and you could find your email list becoming used up and burned out. Be careful to always make your list valuable to your readers, not an irritation.
• Breaking the law - Be aware that due to nasty spammers there are very strict laws around the world and it is easy to break them. For example, collecting email addresses without the owners consent, even not including your postal address in emails to USA residents.
• Alienating readers - It never ceases to surprise me how many people get carried away with email marketing and go way over the top. Your messages do not have to read like snake oil, and every email does not have to carry a "absolutely must buy now before" urgency call to action. Remember your list members are human beings and all should go well though.
• Delivery issues - As people become more and more sensitive to spam there are more and more innocent messages landing in junk mail folders.