PTP/LPs, like others have pointed out, can cause a lot of headaches:
1) Gains and losses in multiple states, that may require filing multiple state tax returns. Especially if there is a large sale or it produces a lot of ordinary income (Stonemar did that a few times, and I know that PA went after unitholders; I wouldn't be surprised if OK goes after MMP holders this year, due to the capital gain associated with the sale of a plant there).
2) State level bonus depreciation adjustments, which impact both the annual losses and gain when sold.
3) Most PTPs are passive to the unitholder, so losses are not deductible until there is offseting income or you dispose of the shares. But, you also need to be tracking and reporting the suspended losses (and if you change accounting firms or software, it is very easy for this info to be lost).
4) You generally need to track your own basis, both to make sure that the K-1s report the right beginning balance and for whatever you purchased or sold during the year; as well as to see if you have distributions in excess of basis (which are capital gain). In addition, when you sell, as the sale of a partnership is treated as selling the underlying assets, some of the gain will most likely be ordinary (as depreciation recaputure). You will also be hit with basis adjustments (to reflect the various partnership distributions you've received over time).
5) If you hold in an IRA, you have to be on the look out for UBIT income. And it does appear that in some cases, the IRS is treating the ordinary gain on sale of a PTP as UBIT income, which requires a 990-T to be filed (which most custodians will charge you for) and you will need to pay the appropriate tax from the IRA assets.
Other than that, there are: 1) The issues with mutual funds, such as if they have a number of redemption0, they will need to sell, which very well may result in capital gains (which isn't an issue for ETFs). In addition, due to the mutual fund structure, if you buy right before the ex-dividend date, you will be hit with the full impact of the year's tax attributes that are distributed (vs buying right after, at the lower share price). 2) All of the foreign asset filings, if you hold foreign assets (and especially so with PFICs). This can range from the FBAR and Form 8938, to needing to read the tax treaty with that country to determine what your foreign filing requirement is. As the penalties for not filing when you need to file are significant (easily in the 5 digits and up).