It is not very adaptable to changes in the database schema. You have to rebuild the dbml layer and regenerate your data contexts.
Like any ORM (I am not getting into the debate as to whether it is an ORM or not), you do have to be aware what SQL is being generated, and how that will influence your calls.
Inserts are not batched, so can be high cost in performance.
It's being sunsetted in favour of Entity Framework
Despite the fact it is using a provider model that will allow providers to be built for other DBMS platforms, only SQL Server is supported.
[EDIT @ AugustLights - In my experience: ] Lazy loading may take a bit of hacking to get working.
That being said, I think it it is very handy if used correctly