Non-classical logics, such as paraconsistent logic etc.., usually 
don't have a problem with the deduction theorem, as long as they 
have no relevancy based implication, i.e. if they are based on 
residuated lattices and don't try to avoid the positive paradox.

Many people on the other hand believe that the deduction theorem 
does not hold in modal logics, especially not in interesting logics 
such as temporal logic. A typical argument goes as follows. 
In modal logic we would have an inference rule:

      P
    ----
    [] P

And therefore if a deduction theorem would be available, we
could proof P -> [] P, which is not desired. This argument
is for example informally repeated in Temporal Logic, 
[The Lesser of Three Evils][1], Leslie Lamport, Microsoft Research,
MSR-TR-2004-104.

Fortunately matters are not that worse. A more detailed
analysis is given by [Does the deduction theorem fail for 
modal logic?][2] Raul Hakli, Sara Negri, November 10, 2010.
In a Hilbert Style calculus HK the above rule should be
more precisely formulated as follows:

        |- A
     ---------
     G |- [] A

The deduction theorem then holds. And we cannot prove
|- P in the first place, and therefore also not go to
|- P -> [] P. Besides a Hilbert Style calculus, the paper
also presents an equivalent Gentzen Style calculus which 
has the deduction theorem already as an inference rule.
It is the right implication introduction rule.

Bye

  [1]: http://research.microsoft.com/en-us/events/lucacardellifest/
  [2]: http://www.helsinki.fi/~negri/selected_pub/dedthm.pdf