Back in 2005-2006 we ran into significant issues with the GC and pinned memory related to Windows sockets when building a networked server for XMPP. I believe the GC has improved since then for that scenario, but it was a big surprise when it happened. It was a classic case of a leaky abstraction.
http://blog.jdconley.com/2006/06/how-to-build-scalable-net-s...