The character limits are extremely high and as far as I know most people don't have any trouble with them, but there's been some questions on suggestions about error messages and caching issues with comments. I can't find the posts, but it was a discussion about whether users should be warned on the comment pages themselves.
When I submitted a support request on this topic, a few months ago, I was told that there were limits of 64k characters on entries, 2,000 characters on anonymous comments, and 4,000 characters on comments by registered users, and that additionally, some clients enforce a shorter entry limit.
I can't find any documentation on this anywhere on the site. Would this be a good candidate for an FAQ or something?