As long as you've got the disk space and backup capacity there's not really an issue. Exchange has been able to handle large mailboxes for a long time, and Exchange 2010 does a stellar job.
Outlook would be the only place where I'd have any cause for concern, and then only if the user is using an older version (pre-2007). Newer versions of Outlook aren't going to have problems with such a large mailbox (and older versions really won't, either, unless you're doing caching).
The only performance problems I've seen with Outlook and large mailboxes relate to large numbers of individual items in folders, but that's more of a count-of-items problem and not a size-of-items problem. The user shouldn't keep 20,000+ items in a single folder and expect it to perform well.
You might consider using the personal archives feature in Exchange 2010 if the user needs to keep a lot of old data around, but there's no reason you can't keep it in his mailbox, just as well.