No problems at all, I do it alot when I am testing components.
In fact, most of the computer stores I frequent have caseless setups so they can test the parts their customers try to return cause they dont work
I leave the sides of my case off and have a 15 inch house fan blowing on my computer. I only leave the fan on low speed (not as loud) and it drops my temps about 5c. My mom says it's a safety hazard, but I haven't heard her reasons for that yet. Personally I don't think it's a problem, the fan is in a safety cage, and isn't heating up from constant use, so what else could be bad?