Loans that exceed the conforming loan limit are called jumbo loans or non-conforming loans. The higher loan balances increase the risk for the investors that make them. Because these loans cannot be sold to Fannie Mae or Freddie Mac, they often have a higher interest rate than conforming loans.
Underwriting can be more strict, and additional documentation may be required to approved and close a jumbo loan (i.e. additional income/asset documentation, second appraisal, etc.).