I would agree with the earlier statements about potential losses assuming we are talking about diversified indexes. I believe that some seasonal ag products (coffee, corn, etc...) could see the out month cheaper than the front month.
As mentioned earlier, make sure that you factor in dividends (if you get assigned before the ex-date). In addition, watch out if you are trading calendars on funny M&A deals (e.g., XYZ proposes to buy 50% of ABC for $80 cash. After the tender offer ABC will shareholders will get 1 share of XYZ stock which is worth below $80 per share. You could get hurt if you are assigned right before the expiration of the tender). Best to avoid these situations.