Well, SHA-1 and SHA-256 are both limited to inputs of no more than $2^{64}-1$ bits; the HMAC architecture itself prepends a logical IPAD (which is 512 bits); hence both HMAC-SHA160 and HMAC-SHA256 are both limited to inputs of no more than $2^{64} - 513$ bits, which is about 2 exabytes.
I rather suspect that this is not a serious limitation to your application...
As for potential security weaknesses if you hash messages this large, I am unaware of anything significant. Here is the most serious I can think of: if we assume HMAC-SHA160, and modify the first block of a $2^{55}$ block message (where each block is 512 bits), we might run into an internal hash collision (which would mean that the HMAC result wouldn't be affected); if the attacker asks us to HMAC $2^{53}$ such huge messages (all of which are the same except for the first block), then there is a good probability of having an internal collision somewhere (and this collision is detectable because the HMACs will be exactly the same); this collision would allow him to generate two other messages that will HMAC to the same value).
However, the amount of work this would take is huge (we're talking about HMACing a total of $2^{114}$ bytes of chosen text; that in itself is totally unrealistic).