Everything Esben said, plus no ground shadows. I've found working with them kinda funky when using alpha/transparency with PNG frames (self shadows are fine).
Both AE and Premiere can import frames directly as a sequence, so it's quite handy to just use the frames instead of the video output and having to key the background out. Just make sure you are working in and exporting the same fps as you will be importing into your AE project - otherwise you get variation in your run time.