Haemorrhage (and other consequences of exposure to heparin (H.I.T.S.)
Hypothermia, or masking of hyperthermia (prevention of hypothermia may be clinically useful)
Complications of (prolonged) venous access
Exposure to extracorporeal circuits and filter (activation of component, sequestering of platelets)
Air embolism
Increased requirement for experienced staff, and increased nursing workload.
Reference
Bellomo R, Ronco C. Renal replacement therapy in the intensive care. Critical Care and Resuscitation 1999. 1(I):13-25.