As with anything, there are risks involved, but I believe the benefits far outweigh them.
A nasty pest or terrible weather pattern can wipe out a crop for the season, and with purchasing everything up front you run the risk of this happening (if no alternate or indoor facilities are used at your local farm).
Vacation/Out of Town
Some farm's will let you choose an alternate date for pickup, but generally if you are out of town or otherwise unable to pickup your weekly share, you miss out. This would be worth looking into when choosing a CSA to support, and usually an alternate person could pickup your share for that specific occasion.