Nice article on Joshua's blog on url shorteners.
The worst problem is that shortening services add another layer of indirection to an already creaky system. A regular hyperlink implicates a browser, its DNS resolver, the publisher's DNS server, and the publisher's website. With a shortening service, you're adding something that acts like a third DNS resolver, except one that is assembled out of unvetted PHP and MySQL...
Joshua goes through a bunch of other issues that exists, both for the user and the publisher of the page that you're going to. Well worth a read.