With e-mail the risk always remains that somebody will send you sensitive information in cleartext - simply because they can, because it is easier, because they don't have your public key yet and don't bother to find out about it, or just by mistake. Maybe even because they know they can make you angry that way – and excuse themselves pretending incompetence. Some people even manage to reply unencrypted to an encrypted message, although PGP software should keep them from doing so.

The way you can simply not use encryption is also the number one problem with OTR, the off-the-record cryptography method for instant messaging.

This opens up for a great possibility for attack: It's enough to flip a bit in the communication between sender and recipient and they will experience decryption or verification errors. How high are the chances they will start to exchange the data in the clear rather than trying to hunt down the man in the middle?

The mere existence of an e-mail address in the process is a problem. Next generation cryptographic communication tools simply do not provide means to exchange messages without encryption, so if something goes wrong at least there is no doubt it could be you doing it wrong -- and giving up on privacy becomes at least a very conscious choice.

Update: And it's not like it's a problem only for the less careful or less tech-savvy. A notable cryptographer recently sent out confidential mail unencrypted. People told him, but he didn't believe it. He wrote himself encrypted mail and indeed, there it was, the mail in the clear. Turned out that one specific version of enigmail was in some strange way incompatible with a specific version of Thunderbird, sufficiently to pretend a completely normal user experience, yet the mails would go out unencrypted, leaving just a remark somewhere in the messages log. There was no way even for the most experienced user to protect himself from a software attack of this kind. This can happen to you, too. Anytime you upgrade your operating system. But only with encryption-on-top systems like PGP.