1. Supports large files up to 5 million records.

2. Data Loader currently does not support the extraction of attachments. As a workaround, we recommend that you use the weekly export feature in the online application to export attachments.

3. Not supported in MAC Operating System.

4. Supports only .csv files.

http://na1.salesforce.com/help/pdfs/en/salesforce_data_loader.pdf