When you start the engine, there is a huge voltage drop to all the accessories, which can cause overheating in the fan motor and the AC clutch to slip when the engine starts. Won't hurt it much each time, but the the times add up till a failure happens.
On some engines (Ford Power Strokes) the alternator doesn't start for a few seconds, and the voltage is low for a while. Ford puts a warning sticker on the drivers sun visor not to have lights or AC on when starting.