PS: @KG4: do you think we need some kind of disclaimer here about the pain and suffering of working with VHF & UHF, for the non-RF savvy?
Maybe just a link to the other thread about getting RF modules to work will do. :)
Seriously, one thing that is definitely worth mentioning is the typical inverse relationship between the cost of a type of module and the ease of use/problems encountered. The cheaper the module, the more work you're likely to have making it work, dealing with noise, and all that fun stuff. Bluetooth, at the more expensive extreme, is pretty much plug & play. On the cheap end of the range, those little US$10 to $20 TX and RX modules are noisy, drift in frequency (especially with temperature), have a short range, are more subject to interference, and all that fun stuff. If you try to save some $$ and use the cheap hardware, that frequently means you've got a lot of work to do in software, like implementing your very own packet formats, checksums, maybe even handshake protocols.
And we're not even talking about RF issues yet...
Leads (wires, board traces, etc) can all act as antennae, so your RF transmitter (or any nearby transmitter) can generate noise back on your digital lines. An antenna is a function of wavelength, and the higher your frequency the shorter the wavelength. This means at 70cm/433MHz, some of the traces (and definitely hookup wires jumpered to a breadboard) are a sizeable fraction of a wavelength. 900 MHz (Xbee, etc) and 2.4GHz (bluetooth, Nordic) has an even shorter wavelength. At the extreme, this means you can see weird problems like every time your transmitter fires up your analog input values go insane, or an interrupt gets falsely triggered.
I don't want to scare anyone away, but as Daniel hints, there are whole other worlds of complexities that can rear their ugly heads when you throw RF into your circuit. You're not likely to see RF issues with the unlicensed modules that are commonly available, but it's not always quite as simple as it seems.