The biggest: The IRS must deposit your refund into your IRA by April 17, 2007--the tax-filing deadline this year--for it to count as a 2006 contribution.
Of course, if Congress had really wanted to encourage retirement savings, it could have mandated that any refunds you designate for IRA savings on a 2006 tax return filed by the April 17 deadline can count as a 2006 contribution.