Shale
In general, thick shale sections cause problems with UBD. They slough or cave into the hole. This is probably due to thick shale sections having some elements of laminating, geo pressuring, or sensitivity to water. As a general rule, thick shale sections should not be drilled underbalanced. In the special case of air/gas drilling, shale usually remains stable as long as it is kept dry. Even the small amount of water in mist drilling will destabilize most shale. These formations need to be put behind casing within a few days. Watch out for excessive caving and especially long, thin cuttings. Once caving starts, it cannot be controlled with under-balance operations.
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