I has been a pleasure reading Roy Osherove's articles on unit testing. In "Write Maintainable Unit Tests That will Save You Time And Tears" he talks about some of the pitfalls of unit testing, the list is probably not complete, but I good read.
On a side-note: I feel that articles written with the intention of explaining shortcomings (scope) and pitfalls are much more educational then the ones simply explaining the usage. I felt this strongly when reading about Fitness where I had problems in figuring out its scope.
The other article, discussed unit testing database access layer code. It had the excellent suggestion of using COM+ 1.5 SWC to encapsulate the unit tests in transactions, thus ensuring independence between unit test. I am looking forward to following this suggestion.