I have heard of cases where pilots have flown to an airfield without calling in ahead, only to be told on the radio NOT to land because the runway is being worked on! If you made sure you had enough fuel to fly elsewhere, then fine, otherwise you may be in trouble.
In another case an airshow was going on and a landing was refused (airfield was listed PPR in the AIP). The pilot complained to the authorities (and was "nicely" told how wrong he was)!
peterh337 listed a number of other good reasons...
