<p>Joel always said to be careful when using 3rd party libraries. From my initial impressions, jQuery is great.  What should I beware of when using it?  What are the limitations?  What headaches will I run into later on as I use it more?</p>

One thing I've run into with jQuery is that you end up chaining a lot of items together, and it tends to quickly get unreadable if you are not careful.
an example I can think of that illustrates this is on
John David Anderson's blog
:
There’s a guy who wrote a logging
  function so you can figure out
  whereYou(are).whenYoureCoding().inThe(middleOf).a(jQuery).trainWreck().
I can see the power of chaining things
  together, but my guess is you’ve
  probably gone too far if you’re
  needing to log things to the console
  mid-swing. There’s probably little to
  no chance you’re going to be able to
  read it a week from now, too.