There is some speculation that winny is psychoactive, and that doing a winny-only cycle may lead to depression afterwards. I posted a poll to try to find out how valid this speculation is and only received a limited response. If you're prone to depression, I'm not sure I'd try it...
Also, winny alone (depending on dosage) may be pretty hard on the joints -- it'll feel bad. This effect is more pronounced in some than others.