One issue that we had in the past was the following - hope this is resolved now.

Say you have an autoscaling group spanned across zones A and B, and say you have 1 machine in zone A and 1 in machine B.

Now, the price in zone A goes up, and your machine in zone A dies.

The issue (bug?) was that the autoscaling group was trying to re-instantiate a new VM in zone A. Of course, since the price was high, the new VM was basically immediately dying. And so on.

Edit: issue apart, it's a great way that can save money, especially if you have a group of VMs whose computation can be interrupted/restarted relatively cheaply.