Many of my friends do not pre-wash and have not had problems but I definitely do pre-wash now all the time. The only time I do not is when using jelly rolls.
I have had a few problems in the past. One was with uneven shrinkage of fabrics where after washing a finished project, some fabrics did shrink alot while others in the piece were very little or did not - it produced an uneven puckering effect. I have also had fabrics bleed after a project has been completed - what a mess and all that work almost ruined! Thank goodness for color catchers, Retayne and Synthropol!