One pit fall is you lose the ability to leverage ordering in sets.
Take the following code:
var results = new int { 0 ,1 ,2 ,3 };
var doSomethingSpecial = (from r in results.AsParallel() select r / 2).ToArray();
You can't count on the results coming in order so the result could be any permutations of the set. This is one of the largest pitfalls, in the sense if you are dealing with ordered data, then you could be losing the performance benefits due of the cost of sorting.
Another issue is you lose the ability to catch known exceptions. So i couldn't catch a null pointer exception (not saying you should ever do that) or even catch a FormatException.
There are a tons of reasonse why you should not always use Plinq in all cases, and i will highlight just one more. Don't read too uch into the "automatic use of non parallel Linq", it can only handle the barrier cases where the query is to simple, or would be too complex to run parallel.
Always keep in mind that the more use PLINQ the more resources you will be consuming on the server, which are taking away from other running threads.
Resources:
MSDN PLNQ white paper
Paul Kimmel on PLINQ