http://news.health.com/2009/03/31/babies-born-only-2-3-weeks-early-may-face-development-delays/
Here is one article. It claims that even only 2 to 3 weeks early babies have a higher chance of having developmental delays, and once you get down into the 4+ weeks early category, it gets even higher.
http://www.oregonlive.com/health/index.ssf/2010/06/babies_born_even_a_week_early.html
Here's another one, claiming that even 1-2 weeks early babies have a higher risk for Learning disabilities.
This one mentions that late babies have a higher risk as well.