I use sleep mode almost all of the time. The only time I encounter any trouble with it is if I change any physical connections while it is sleeping.
:radioacti Don't change physical connections while it is asleep. This is a Bad Thing. :radioacti
Connecting or unconnecting power gets its attention, though this doesn't appear to be a bad thing. In contrast, plugging my iPod shuffle into it while asleep gave me an evening of fun a few days ago. I wanted to see if I could charge it while the Mac slept. Somehow OS X became confused and locked. When I got it unlocked and up and running again, I checked it and discovered minor hard disk corruption that was easily corrected. It's fine now, and I still use sleep mode, but I'm a bit more careful about what I do with external connections.