Assume given three projective systems $\{A_n,\alpha_{nm}\}_{n\in\mathbb{N}}$, $\{B_n,\beta_{nm}\}_{n\in\mathbb{N}}$ and $\{C_n,\kappa_{nm}\}_{n\in\mathbb{N}}$ of abelian groups (modules over some ring would equally do), endowed with arrrows
$$
0\rightarrow A_n\xrightarrow{f_n}B_n\xrightarrow{g_n}C_n\rightarrow 0
$$
making the above sequences exact for every $n$ and satisfying the commutativity conditions $\beta_{nm}\circ f_n=f_m\circ\alpha_{nm}$ and $\kappa_{nm}\circ f_n=f_m\circ\beta_{nm}$. Then one can form the projective limits of the system to find a sequence
$$
0\rightarrow \varprojlim A_n\xrightarrow{f}\varprojlim B_n \xrightarrow{g}\varprojlim C_n
$$
and a classical result says that, in order for this sequence to be right-exact, one needs the system $A_n$ to be stationary - meaning that $\alpha_{nm}(A_n)=\alpha_{n'm}(A_{n'})\subseteq A_m$ for all $n,n'\gg m$.
A classical counterexample showing the necessity of this condition is to take $A_n=p^n\mathbb{Z}$ with $\alpha_{nm}$ given by inclusions, $B_n=\mathbb{Z}$ for all $n$ with identity maps $\beta_{nm}=\mathrm{id}$, and $C_n=\mathbb{Z}/p^n\mathbb{Z}$ with the obvious maps. The system $A_n$ is non-stationary because the image of $A_n$ in $A_m$ is $p^n\mathbb{Z}\subseteq p^m\mathbb{Z}$ which becomes smaller and smaller as $n\rightarrow \infty$: the corresponding sequence of projective limits is
$$
0\rightarrow 0\rightarrow \mathbb{Z}\rightarrow\mathbb{Z}_p
$$
which is clearly not right exact.
[Later remark]: After typing all down, I remarked that everything can be found in Wikipedia at http://en.wikipedia.org/wiki/Inverse_limit Moreover, the stationary condition quoted above, usually referred to as Mittag-Leffler condition, is enough to prove right-exactness of $\varprojlim$ in Ab, but there is a counterexample due to Deligne and Neeman showing that in other categories this is not enough, see http://www.springerlink.com/content/aeem2yx884nnufxn/
