As long as both documents are set up to the same units, it should be fine. for instance, if you're doing web design, then you want to make sure that the illustrator file is set up for web and is using pixels (you also want to make sure they're using the same color mode).
You can also zoom in really far to make sure that vector objects are aligned to the pixel grid in Illustrator. This way when you open the file in Photoshop there isn't an edge that's half way between pixels. This will cause a blurry edge when you want a sharp one.
One cool feature is that if you have a artboard in Illustrator that matches the exact canvas dimensions in Photoshop, then you can copy from Illustrator and paste into Photoshop in the exact location (as long as it doesn't bleed off the artboard).
This is less relevant with print because the higher resolution files which are generally more forgiving of a pixel or two.