While it is nice to have, datalists are currently lacking in common functionality and are no real substitute for fully featured autocompletes. For example, datalist only matches the beginning of the values. Typing "soft" into a datalist will not match "Microsoft".
Hugh's point is incredibly important. You don't really want one hundred thousand <option> elements in your DOM as your "auto-complete" solution.
To be honest, datalists are pretty worthless for every situation where I've needed to implement auto-complete functionality in projects, simply because the universe of possible entries has been always been huge.
There are some other limitations discussed here: http://msdn.microsoft.com/en-us/magazine/dn133614.aspx