I'm currently developping a solution that makes extensive use of web services to communicate back and forth between two site collections.
When I added Alternate Access Mapping to both site collections, I wasn't anymore able to call my web service locally (it still worked fine when called from another server). On the relevant server, trying to reach a site collection (and thus anything underneath) using the AAM name was always triggering the credentials prompt and failed regardless of the validity of the credential given…
Looks like there is a more secure way to fix this, and thus avoiding to disable the loopback check :
http://blogs.windwardreports.com/wunder_fodder/2010/03/sharepoint-gotcha-when-using-alternate-access-mappings-aam.html and you should read the excellent harbar post over there : http://www.harbar.net/archive/2009/07/02/disableloopbackcheck-amp-sharepoint-what-every-admin-and-developer-should-know.aspx to understand why it's a bad practice to do so on a production server.