Oh there are loads. Lets start with 3 Browser gotchas:
Anything but IE: The Silverlight object won't scale to fit the browser window.
Workaround: Put this between the tags:
<style type="text/css">
html, body, form { height: 100% }
</style>
Also be aware that IE will let you have your dev website in localhost and your app access other domains, whereas other browsers won't.
Safari: If you use custom response headers (which are useful for doing efficient paging in Data Services) Safari may change the case of the header names breaking your app.
Visibility issues
There are various issues with changing properties of collapsed visibility components, generally what happens is they don't register the change while they're not visible and you have to do them again when you make them visible. The SL team seems not to have tested very thoroughly what happens when you make components invisible and visible.
If you are getting an unexpected intermittent ArgumentException, this may well be because you have code in a button's click event which makes the button itself (or a parent of it) invisible. Apparently some internal code runs after the click event which is expecting the button to be visible. Get around this by creating a short (100ms for instance) DespatcherTimer in the click event, and setting the button invisible in the Tick event.
DependencyObject / DependencyProperty issues
If you're used to the way these work in WPF they are thoroughly broken in Silverlight. If your data objects are DependencyObjects you will have 2 problems. One is that in SL DependencyProperties don't have change notification built in - if you want them to update bindings you'll need to make your object implement INotifyPropertyChanged. Another is if you bind to a collection of DependencyObjects you will get very wierd effects. You need to use a class a little further down the control hierarchy - I've inherited from FrameworkTemplate instead. So I'd recommend your data objects look like this:
public class CustomDataObject : FrameworkTemplate, INotifyPropertyChanged
{ ... }
Converters
There's no multivalue converter and no Binding.DoNothing. No workarounds for these I know of.