An example of potential problems with proprietary file formats is the DWG file format used by AutoCAD.

Have a peek at it's sordid juridical history:
http://en.wikipedia.org/wiki/.dwg

Even when something has become a de-facto standard, much troubles can arise from the use of a proprietary file format.

Switching to DXF files helps on the legal front. But proprietary can still result in snags - a lot of features aren't documented.

When selecting a file format to use, "proprietary" basically just means that it isn't a standardization committe that drives file format changes. A proprietary format or protocol may have better or worse documentation than an open-source or internationally standardized alternative. There is nothing wrong with using proprietary file formats. But when using someone elses file format, it is important to take a closer look at potential licensing rights. Some owners can keep their wolves sleeping for quite some time before setting off the hunt.

If a company gets their main product stopped by a court restraint, a whole lot of things can come crumbling down in a short time.