Linked from
The 33 pages that link to Multiple comparisons problem, each with the reason it gives.
P-valueRelated: Repeated testing can produce small p-values even when every null hypothesis is true.
False positiveRelated: More tests create more opportunities for at least one false positive.
Microarray analysisRelated: Thousands of probe-wise tests require adjusted significance criteria.
Eyeball theoremRelated: Scanning many plotted patterns can make chance features look convincing.