there is nothing wrong with eating the whole peel. however, if you eat a lot of the peels you will find that the colored outer rind can cause stomach problems. there is alot of acid in there that can be very harsh on your system. this is the acid they use to make those citrus based cleansing agents with.
now, if it doesn't bother you, then have at it! but i have found that if i eat a lot of the peels it will cause stomach upset. the white rind however is very easy on the tummy. you can eat as much of that as you like with no problems.
edit--
his is from mo's post 'top ten uses..' in this same thread
"Limonene, a carbon-based compound that makes up around 95% of the oil found in orange peel is often used to give household cleaners a citrus smell."
this is the compound that can cause stomach problems and it is only in the colored outer rind, not the white inner rind.