Michael Merrill used a minimal headboard and extended the drapes around the bed for a dramatic effect.
Bedroom by Turquoise
Bedroom by Andy Carera
Bedroom by Michael Graydon. The bay window is the perfect nook for the bed.
I suppose there are several good reasons not to do this. If you have old, drafty windows, you can catch a nasty head cold. A headboard would be mandatory if you want to sit up and read in bead. Also, closing and opening the drapes can be a drag if you need to stand on the bed to do so. Our room is a rarely used guest room, and the windows are dual paned, so I'm going to place the bed in front of the window and ask for forgiveness later.