The pitfalls, and "cons" are stated well below:
1. No disclosures. The lender has never occupied the house, so they are under no obligation, nor do they often know, if there are any issues with the property.
This is really a moot point anyway, since you should be getting your own independent home inspection done prior to purchase, thus doing your own due dilligence to uncover any issues yourself.
2. Competition. These homes are often priced to sell initially. If not, the listing agent typically will correct the pricing within a relatively short period of time. It it's a desirable property, in a good location - you will undoubtedly be competing with someone else, or multiple people for it.
3. Condition. Often, as you can imagine, a homeowner isn't going to be too "keen" on getting evicted from his/her home. Sometimes these properties are purposely destroyed, or in pretty bad shape with anything and everything missing. Additionally, someone who is going to ultimately lose their home, probably isn't investing too much time or money into maintaining it. Since the foreclosure process can take a year or more, that's a long time for problems to arise and get worse if they are not corrected by the owner.
4. Dealing with lenders/banks/asset managers. You will be negotiating with a lender or a bank entity most likely with REO properties. They do not care about "what you want" and for the most part it's their way or the highway. You will likely sign an addendum with all sorts of penalties if you do not close, and they are held harmless for anything and everything. In return, you will often get a great deal if you can swallow your pride under closing. However, if you try to play hard ball or get cute - they will simply not respond to you and sell it to someone else without batting an eye.
Also - if you think "They better take my offer, because no one is going to buy this house at that price in that condition" - you'd be wrong.
Hope that helps!