Many customers didn't like the fact that we blocked spaces in folder and file names in the media library. We did this because links to documents with spaces will get a "%20" in place of each space in the URL.
At the same time, realize that file and folder names sometimes look better with spaces. The new PDF BROWERS app that we just built illustrates this very well. Try that app out if you have not seen it yet - it make browsing your PDFs a breeze.