And by that, I don't mean that it beats the crap out of Microsoft Windows, I really mean that Mac OS X application windows sometimes disappear when you use Spaces. You can't cmd-tab to them anymore or otherwise see them again. They are not just minimized or hidden, they are in no man's land.
I hit this over the last few days, and I am not the only one. See this discussion: Disappearing windows in spaces.
The workaround of disabling Spaces and then re-enabling works for me, but it's quite an annoyance to have to resort to that as you need to move windows to their proper space again for applications which aren't assigned to a particular space.