The most obvious problems with Pascal's Wager are:
* How do you know which God to believe in? There are plenty to choose from, and if you pick the wrong one, you could be in big trouble (e.g. what if you choose Jesus, but get to heaven only to come face-to-trunk with Ganesh?). This is known as the "Avoiding the wrong Hell problem". If a dozen people of different religions came to you with Pascal's Wager, how could you possibly choose between them? After all, many religions are quite specific that they are the One True Religion, and not any others. Jesus Christ said "I am the way, the truth and the light. None shall come to the Father except through me." [emphasis added] and no doubt most other religions make similar claims. If a Christian considers the Wager as strong support for his faith, surely he must accept that it is equally valid for all other religions when presented to himself?
* God is not stupid. Won't He know that you're just trying to get a free ride into Heaven? How can you sincerely believe in a God simply out of convenience?
* If there is no God, you have still lost something. You have wasted a good portion of your life performing the various devotional rituals, attending Churches, praying, reading scripture and discussing your deity with His other followers. Not to mention giving your hard-earned money to the church, wasting your intelligence on theological endeavours and boring the hell out of people who really don't want to hear your Good News.
* Can you get away with just sort of generally believing in a Supreme Being, without specifically believing in one particular Deity? Probably not - God will still know what you're up to. Also, many Gods are quite particular about how they should be worshipped. Many born-again Christians will tell you that the only way to Heaven is through accepting Jesus Christ as your personal saviour - nothing more and nothing less. General-Deity-Belief and being nice simply won't do. Many people believe that all the different religions are merely alternative routes to the same destination. Nice and tolerant (if a little warm'n'fuzzy) though this may be, there is no valid reason to accept this stance over the fire-and-brimstone fundamentalist position : if the fundies are right, then the un-Saved liberal theists are in just as much trouble as the nonbelievers.
* Few, if any, atheists disbelieve in deities out of choice. It's not as if we know the god is really there, but somehow refuse to believe in it (for example, see if you can choose to truly believe that Australia does not exist). Most atheists disbelieve simply because they know of no compelling evidence to suggest that any sort of god exists. If you want an atheist to believe, show her some good evidence, don't just say it's in her best interests to believe even if there is no god. A person cannot choose to sincerely believe in something, just because it is pragmatic to do so. Sure, you could say all the right prayers and attend church regularly, but that is not the same thing as actually believing, and any God worth his salt would obviously see straight through that.
* It is quite insulting. It amounts to a thinly veiled threat, little better than saying "Believe in my God or He'll send you to Hell" (in fact, this is often the form it is presented in). Also, the theist making this threat assumes that the atheist believes there is a Hell or a God to send her there in the first place. If you don't believe in Hell anyway, it's not a scary thing to be threatened with - a bit like saying "If you don't start believing in unicorns, one will trample you to death while you're sleeping." Who would be worried by that?
* It is often self-refuting, depending on the person's description of God. If you believe that God will forgive anyone for anything, or judge people purely on how they lived their life and not what they believed, or that everyone gets to Heaven regardless (unless maybe they were genocidal cannibal serial killers), then the Wager is meaningless. You might as well say "Believe in God, or you'll... erm... go to Heaven anyway." In such a case, it doesn't make a scrap of difference whether the person believes or not.