The Arduino (actually the ATMega chip) sets the baud rate using a combination of clock speed and clock divider settings. There are some baud rates where it just can't hit the right bps with enough accuracy, i.e. instead of 300 baud it might be going at 310 or 312 or something like that. There is a margin of error that devices on either end can cope with, but the slower baud rates might be too far outside that margin to be workable.
The datasheet for the ATMega328 gives examples for baud rates (with the % of error) but it only goes down to 2400 baud in its examples.
There's also something about interrupts, the serial module uses interrupts to handle things behind-the-scenes (this is why you can't use Serial inside an interupt handler) and at the low baud rates the uC can spend so much time in interrupts that the rest of the sketch gets starved out for cycles.
Cheers!