Why do we need to avoid 0x0a, 0x0d and 0x20 when generating shellcode?

When developing exploits for Windows (in my case Windows XP SP3) why do we need to avoid certain bytes in the shellcode?

I know of four bytes we need to avoid: 0a, 0d, 20 and 00.

I know 00 marks the end of a string, so if we're passing our exploit in as a string input a 00 would signal the end of the input and anything after that would get dropped.

What about the other three?