Unclean! Unclean!
Aside from the obvious risk of port attacks etc. which anti-virus programs can't help with, I'd be worried about being able to play the latest games etc.
For example if MS release a DX10b that requires activation? Sure they don't at the moment, but there's not a lot to stop them from doing that in the future. Even if it doesn't itself, it's not hard to imagine that DX itself could rely on an update to the OS itself, like SP2. Again there's nothing to stop them from requiring GWA activation for any service packs etc, which they started doing for XP in recent years.