Black drywall screws have a phosphate coating that is supposed to keep the wet drywall compound from causing the screw head to rust. Although the coating does help prevent rusting, it doesn't stop rusting altogether, which is why black drywall screws are recommended only for indoor projects, due to their tendency to sometimes rust. In addition, drywall screws aren't terribly strong, so they're not a good choice for weight-bearing items -- for example, to attach a bookshelf to a wall. Basically, they're meant to attach drywall to a wooden frame and not to be misused for other purposes.
Where the screws were manufactured also has an influence on the quality, with U.S. and Canadian screws considered longer-lasting and more likely to meet your expectations. Another complaint regarding imported black drywalls screws is that they sometimes leave slivers in your skin, something a higher-quality screw won't do.