GDI objects (such as fonts, bitmaps, pens, brushes, etc) are limited somewhat due to the 16 bit Windows heritage. These objects are allocated on the "Local Heap" which is limited to 64K per process. This, of course, limits the number of these objects that may be allocated. In addition, there are system wide limits such as 16,000 bitmaps total (which may not actually be achievable...). In general, wxWidgets handles this for you but you should try to limit the lifetime of such objects as much as possible.
In addition to the limitation above on the number of bitmaps, there is a 16MB limit to the size of bitmaps.