GPS works well under a wide variety of conditions, but there are a few situations that often cause problems.
It's common to lose reception as you drive through "urban canyons" with tall buildings on both sides. Tall buildings aren't usually a problem if they're free-standing, but it's hard to find GPS signals when they're built closely together along the edge of a narrow street. Systems with dead reckoning capabilities are better able to cope with these conditions.
You don't need a GPS to get in and out of a parking garage, but it may take a while for your navigation system to figure out where it is after you leave. At home, you might be able to wait in the driveway while your navigation system locates satellites; but many times this is not possible when leaving a public garage. Finding satellites usually takes longer if you're driving around, so you might be on your own for a minute or two.
Tunnels also block GPS signals but are less of a problem because you're usually able to regain signal before your next turn.