In general burn in is not a problem, but:
You don't want to play underscan games (black bars).
You don't want to leave the console in the dashboard (or similar for other consoles) and then go off and forgetting about it.
I've experienced burn in from underscan, HUDs and anamorphic (2.25:1) movies on my old philips panel, but nothing permanent, -it usually goes away after an hour (but scares the living shit out of you first time you notice it).
I'm still waiting for my new Pioneer, burn in should be even less of a problem on newer panels.
Cheers