The absolutely biggest thing going against wall units is that many promote placing your speakers or subwoofer within the enclosure. Placing any speaker besides the center channel in a cabinet will greatly degrade system performance. It's best to stay away from these types of wall units.
Another big area of trouble with wall units is they are sometimes too big and leave no room for the left and right speaker. The speakers then get tucked away in the corners which absolutely ruins any sound quality. If the wall unit forces you to place any piece of gear in a location that degrades performance, you might want to reconsider that piece of furniture or opt for an A/V rack instead.
Most furniture makers aren't home theater specialists, and don't take into consideration the affects a wall unit can have on a home theater. Any wall unit that can house your TV, components, center channel and more while leaving space for the proper placement of all your other speakers is a perfectly elegant way to showcase your home theater. You will, however, need to look around to find the right wall unit to fit your needs.
Things to Consider
Wall units are generally made of wood and should exhibit the same rugged quality
of wooden A/V racks and stands. Stray away from any that have speaker compartments.
The most important item is heat buildup within the component shelves. If you're using a mid-high end amplifier or receiver there may not be enough breathing room in the wall unit. If this is the case you may want to reconsider or think about other places to put the amplifier that would allow for proper ventilation.
You should have plenty of places to stack gear with the wall unit accepting at least 4 components on each side. You probably want drawers to tuck your software in, and some glass doors to cover up the components a bit.
It should definitely have a bridge for your center channel to rest. Most wall units are made with projection screens in mind so if you have a direct view TV be sure the wall unit has a TV stand available for it.
Wall units tend to be very hard if not damn near impossible to get to the back of the system for wiring purposes. That's one of the biggest reasons not to get one. You'll most likely have to empty the wall unit out to move it forward to gain access to the back.
If you feel the hassle is worth the look a wall unit provides then by all means get one. You'll just want to be sure to have plenty of room left over for proper speaker placement so that you can enjoy the your great home theater to it's fullest.