They get hot, they warp. Ever been to Death Valley? Desert Southwest? No? Your car can reach the same temps. If you live somewhere temperate then you more than likely won't have any trouble. Glass doesn't have that problem. Kodak gels can warp as well with high humidity/moisture. I have had to toss gels after long exposures near the ocean. Lee polyester "gels" probably wouldn't have that problem but I have heard of focus shift issues with them, especially with telephoto lenses. I have never used them myself so I don't have any personal experience. I seem to recall that Calumet "gels" are Lee but don't quote me on that.
There is the other problem with Cokin filters- since they are soft, they scratch easily.
Like most things in life, if you spend a few bucks more you never have to worry about it again.
By the way, I should thank Mike for the info on the swatch book. I have always used the little ones I picked up at grip houses, but I was unaware that they had larger ones. They are great for balancing on camera flash to ambient light to get rid of crappy color casts. I cut them to fit on the face of the flash and cover it with one of those Stoffen diffusion thingies. With digital it only requires one on the flash. With film, the color cast has to be filtered in front of the lens as well.