The real issue is trading volume, not the exchange per see. BUt OTC will usually have thinner volume.
If you put in a limit buy, you need to match somebody with a matching or lower sell, or market sell. On a stock that is thinly traded, might not happen very soon.
You can always put in a limit with a higher buy (or lower sell) if you are in a hurry.
On very thin stocks I will put in a buy above the ask (or other way around) to insure I get a fill. It basically works as a market order but protects you against a bad fill.
Market Data 
Markets 
AI
