We have hit two issues in recent weeks with this.
1. ASP.NET Session or Authentication cookies do not work correctly on a server with an underscore in the name. Jon Box reminded me of the issue and Scott Hanselman chimed in. Come to find out this is really an Internet Explorer issue.
2. SQL Server has issues installing and other random issues on a server with a hyphen in the name. Note this is primarily a SQL 6.0/6.5 issue.