No limitations that I know of, with the possible exception of numbers - I think 100 (0-99) is the maximum number of folders you can have. As far as different files in the same folder, there shouldn't be any problems.
With JScones's help I put together a set of randomized loading screens, which also includes nine different fanfares and three different leers (map table backgrounds). You can download it from my sig. Beware, though - with 300 different screens it's bigger than GWX!
