Theoretically, unlikely the government could censor your transactions via miners though, at least effectively. Getting it back on an exchange is foreseeably an issue, at least for tax purposes. Other than that nothing really, some innocent people have been roped into frivolous legal trouble because of false positives of their bitcoin being spent on illegal goods, but this seems to be unraveling quickly because assuming you are mixing hard enough there is really no way to prove where your money went, and thats being shown in court.