As a gravitational theory GR works very well both locally in the solar system and also extrapolated out to cosmological distances. Nevertheless there may be a few potential problems that have been discussed in this thread:
Critique of Mainstream Cosmology.
One test of GR that is being evaluated at this moment is the
Gravity Probe B experiment with final results due in May.
At the moment the team are evaluating and reducing unexpected experimental error and have reduced it so far to the one sigma confidence level. (68%).
At this level of confidence the GR prediction falls
outside the error bars of the measured precessions!
You can see the relevant results in the project director Francis Everitt's lecture slide: http://colloquia.physics.cornell.edu/11-12-2007/cornellpres_files/v3_slide0341.htm data box.
Einstein prediction = -6571\pm1 (millarcsecs/yr)
4-gyro result (1 \sigma) for 85 days 12 Dec 04 - 4 Mar 05 = -6632 \pm43 (millarcsecs/yr)
However, we don't normally start taking notice until there is an anomaly at the three sigma level, nevertheless it is interesting!
One problem with GR is that of integrating it with quantum mechanics into a quantum gravity theory, therefore any observational anomalies are important in giving a clue where modifications may have to be made that would also assist towards this integration.
Garth