SharePoint Products and Technologies support large lists. However, you must carefully control how end-users view the lists to help prevent adverse effects on performance.
Be aware that the following settings and operations can significantly affect the performance of a site that has large lists.
Please be aware that if you have a site that uses large lists, it can slow down the performance of site collection backups performed with the Stsadm backup operations.
More info http://technet.microsoft.com/en-us/magazine/2009.08.insidesharepoint.aspx
Good Blog Praveen. keep them coming :).