First, as was said, this has to make Mubarak nervous. Hamas began as a project of the Muslim Brotherhood, which Mubarak has endeavored to suppress for a number of years now. He therefore has to tread carefully with the Palestinians that have literally stormed the gates into his country, to avoid agitating those living in Egypt whose sympathies are closer to Islam and Hamas than they are to the government.
Second, this has to make Israel nervous as well. It was only a few weeks ago during the Anapolis conference that Israel called for tighter control of the flow of arms between Egypt and Hamas. Israel's been happy since Hamas militants kicked Fatah out of Gaza, essentially allowing Israel to keep both major Palestinian groups isolated and relatively powerless, and try to weaken Hamas' appeal by making it harder for them to be the providers of food and clothing.
So where the problem was once underground tunnels providing rockets, you now have a streaming mass of people and an Egyptian government that is (probably) afraid to do much in the way of checking and regulation, in the event it ticks off Islamist elements within the country. Teh suck for Israel.
Hamas will possibly expand on this idea of buying in Egypt what it can't get in Gaza, which might jeopardize Israeli attempts to (a) isolate Hamas and (b) make it harder for Hamas to keep itself supplied. This can't be going over well in Israel, particularly now that Olmert's government is threatening to break down.
It can't be going over well in Egypt, where the government cannot help but see the risk having Hamas militants freely enter the country along with those Palestinians simply seeking supplies. It's not like they could stage a coup, but they could make noise asking for help, and no Arab country likes having to help the Palestinians. They're like in-laws that everyone would rather keep locked in the shed.
The question is, as has been played by Jordan, Egypt and Israel (among others) many a time is, if the less-violent strategy of isolation isn't going to work, who's going to get ticked off and crack down on the Palestinians this time?