Keeping your head in loops.
You risk running out of memory if you loop over the elements of a potentially very large, or infinite, lazy sequence while keeping a reference to the first element.
Forgetting there's no TCO.
Regular tail-calls consume stack space, and they will overflow if you're not careful. Clojure has 'recur and 'trampoline to handle many of the cases where optimized tail-calls would be used in other languages, but these techniques have to be intentionally applied.
Not-quite-lazy sequences.
You may build a lazy sequence with 'lazy-seq or 'lazy-cons (or by building upon higher level lazy APIs), but if you wrap it in 'vec or pass it through some other function that realizes the sequence, then it will no longer be lazy. Both the stack and the heap can be overflown by this.
Putting mutable things in refs.
You can technically do it, but only the object reference in the ref itself is governed by the STM - not the referred object and its fields (unless they are immutable and point to other refs). So whenever possible, prefer to only immutable objects in refs. Same thing goes for atoms.
