The only significant pitfall to long cache times occurs when you want to update that data. To be safe, you have to assume that it will take up to a week for the new version to become available. Intermediate hosts such as a ISP level proxy servers often do cache aggressively so this delay will happen.
If there are large files to be cached, I'd look at ensuring your content engine supports If-Modified-Since.
For smaller files (page content, CSS, images, etc), where reducing the number of round-trips is the key, having a long expiry time (a year?) and changing the URL when the content changes is the best. This lets you control when user agents will fetch the new content.
Yahoo! have published a two part article on reducing HTTP requests and browser cache usage. I won't repeat it all here, but these are good reads which will guide you on what to do.
My feeling is to pick a time period high enough to cover most users single sessions but low enough to not cause too much inconvenience should you wish to update the content. Be sure to support If-Modified-Since if you have a Last-Modified for all your content.
Finally, if your content is cacheable at all and you need to push new content out now, you can always use a new URL. This final cachable content URL can sit behind a fixed HTTP 302 redirect URL should you wish to publish a permanent link to the latest version.