The biggest CEL issues are going to be with the exhaust. If there isn't a cat in the downpipe (or some other method of tricking the ecu), your going to get a cel. Turbo-back systems that utilize midpipe cats seem to have this problem quite frequently.
I've got a 3.0" Graham Goode turbo back (single cat in the downpipe) and GGR Uppipe. I have never had a CEL.
Some people have had CELs for a lean condition because of their intakes. I believe some early CAI's for the wrx had this problem ( I believe they were Injen, but this has since been fixed). It is usually traced back to improper placement of the MAF sensor in the intake tube or due to a very radical intake design (APS).
Others have reported getting CELs due to lightweight pulleys, however, this was only on highly modified engines.
Hmm.. If you use something like an ITC to alter timing, you may have problems, the stock ecu doesn't like the timing altered very much from what it's expecting.
If your worried about CEL's, get yourself an OBD-II scanner, it will allow you to pull and reset your codes. If not, make a friend in the area with one.