We are considering implementing DKIM, the pros seem pretty obvious. Are there any cons?
I know this is a bit vague and possibly subjective so I will accept what seems to me to be the most complete answer when 24 hours have transpired with no new answers/comments.
Incorrect implementation leading to rejected mail is the only pitfall I can think of (or slow DNS propagation causing trouble: Make sure to publish your DNS record with the key a few days before you start sending DKIM-signed mail to avoid that).
If your DomainKeys/DKIM setup is correct I don't think it can cause any problems since if the receiving end doesn't recognize the DKIM header in the email it will just ignore it like any other "noise header".