Your employment may prohibit it.
Depending on the work, your employment contract may either prohibit working for anyone else or impose restrictions which may open you up to significant legal problems.
For military or government workers -- very strict "conflict of interest" rules generally require you to have any outside employment 'approved' by management.
Non-competition clauses could penalize you for doing work with any competitor or even potential competitor of your 'day job'.
Last but not least, there is the issue of ownership of inventions or proprietary technologies. Most employment contracts have these types of clauses.
Something as simple as using that cool new redirect script you did at work on your friend's web site could have severe consequences.
Not to say that it can't be done, but it should be thought through carefully.
