I just stumbled across an interesting blog post named Legal Implications of Cloud Computing. I am not a lawyer and therefore unable to judge the details but overall it gives a good view of the risks and challenges.
About the author
Roger Halbheer is an Executive Security Advisor at Microsoft in EMEA acting as a trusted advisor to CxO. Before that he was a Managing Director at Accenture's Financial Services. Before joining Accenture, he was the Chief Security Officer of Swisscom (Switzerland's largest telecom provider) and the global Chief Security Advisor for Microsoft.