Volatility: The price of Bitcoins is fairly unpredictable. A speculator is basically trying to predict the future price of Bitcoins.
Security: A speculator generally has to trust his Bitcoins and currencies to an exchange, at least some of the time. That exchange could disappear or claim he transferred out his Bitcoins. When his Bitcoins are not in an exchange he has to store them in a wallet which is vulnerable to compromise.
Technology: Bitcoins could become obsolete overnight if some new, superior crypto-currency came out. This could start as a sharp drop faster than a speculator can react. He would then have to either take a big loss or risk a total loss.
Unknown Defect: There has already been one case where a software defect in the client forced the unwinding of many transactions. What other problems might pop up one day and negatively impact the speculator either directly (by causing him to lose Bitcoins) or indirectly (by causing his coins to lose value)?
Known Defect: A 51% attack, double-spend attack, or similar problem could cause the Bitcoin system to become unstable or could impact the speculator's transactions directly.
Legal: The legal status of Bitcoin trades and the tax implications are in many cases unknown and in all cases subject to change, particularly if Bitcoins become popular.
Physical: Since Bitcoins can be easily moved halfway around the world and are untraceable, if someone knows you hold a lot of Bitcoins, he could kidnap/rob you and physically compel you to transfer your entire stash of Bitcoins to him. This is much less traceable than currencies, and you may have a very hard time getting police to take you seriously. (You couldn't even prove that you had lost the coins as opposed to having transferred them to another wallet you control.)
Mistake: A speculator could make a typing mistake, especially while making a large number of transactions of different kinds, that results in a loss. A price or quantity could be entered incorrectly or someone else's Bitcoin address could be given as a destination for a withdrawal.