In some cases, it distracts from the game or movie and pulls you out of the "world". When it compromises the artistic integrity of the work in question, it's a problem.

It insults the audience's intelligence when used too blatantly. You honestly didn't think we'd notice your perfectly position can of Foo Cola?!

It's also annoying to pay $X.00 for a game or movie and realize that the creator is getting kick-back. If they dropped the price of the product by 20% or so, maybe people would see it in a better light.

Subtle placement in a way that doesn't detract from the work is fine. Unfortunately, it usually doesn't work that way.

- Jeff

Huh. I guess I just don't pay attention well enough. I never notice it.