Current Major Warnings (PC):
Cheaters can crash your game without being in the same session as you simply by getting your Social Club username or Social Club ID number;
They can also force invites on you - if you see the "Getting session details" or whatever it is in the bottom right when it WASN'T you, immediately quit to single player, then go back online.
Current Minor Warnings (PC):
Be aware of the usual - teleporting, invincibility, traps and game crashing.