Obviously if you want to connect large numbers of things you need some way of adding extra "pins" to the Arduino. That is not to diffcult with port expanders.
You also need to be careful not to draw too much current from the Arduino. You should use a separate power supply for the external gadgets.
Each I/O pin can provide about 20mA (40mA absolute max) but I don't think you can draw 20mA from every pin at the same time.
The 5volt pin can provide about 200mA or so of current so it is not suitable for powering motors or large numbers of LEDs.
I guess if you want to control a very large number of things you may find that the code will not run fast enough for what is required. I think it would be very difficult to estimate in advance without timing some test sketches.
...R