Unfortunately, yes, although there are only a few. The first is that mobile pages do not support user controls files with the .ascx extension. The second is the use of error pages. With ASP.NET, if an error occurs in the application, the user receives a fairly detailed error page along with a description of the error. Mobile devices often aren't able to display such a complex UI, although they do try. You might want to set up your own custom error pages by using the customErrors element in your web.config file:
<customErrors defaultredirect="errors.aspx" mode="on" />
Use mobile server controls in this custom error page to ensure that the message is properly displayed on the device.
Similarly, the page-level tracing feature, which causes additional HTML to be tacked on the end of your ASP.NET pages when viewed, might cause problems in a mobile device. Use application-level tracing instead if necessary.
Finally, keep in mind that many mobile devices do not support cookies. Try not to rely too much on cookies in your mobile applications, and if you're using session state, configure your application to use cookieless sessions.