A major problem with HTML signatures is that a lot of email clients and servers will not automatically download images. On a lot of them, the recipient has to elect to receive images.
So, let's say you spent a lot of time crafting that complex, HTML signature and you are proud of it. You send out some emails with it. Instead of seeing the signature you have developed, they see some messages asking the recipient to click somewhere to download images and a bunch of broken links.
The lesson here is to avoid getting too creative with those. Some people try to sneak in viruses and spyware through images, so getting them through email servers and clients these days can be tough.