The core challenge of running Windows on your Mac is the lack of free technical support when you run into problems. Apple only provides phone support for Boot Camp Setup Assistant. Apple phone support is free within 90 days of purchase or if you are covered by AppleCare. Microsoft will provide assistance with activating Windows but that’s about it. Beyond that, you can purchase phone support from VMWare or Parallels for issues beyond initial installation. Your best resources are the support databases for your method of installing Windows (Apple’s Boot Camp, VMware, or Parallels) and the Google search box. The community of users running Windows on a Mac is smaller, so you may run into issues that no one has solved yet.
The second challenge is that running two operating systems requires you to know the basics of both Windows and Mac OS X (how to adjust preferences, find files, install applications, etc.) This also makes data backup plans more complicated because you will need a separate backup plan to accommodate Windows. For example, Time Machine cannot backup a Boot Camp Windows installation at all and it works very poorly with virtualization software.
The last major concern you should have is security. If you install Windows on your Mac, it is just as vulnerable to viruses, worms and malicious attacks as any PC running Windows. Although we haven’t seen any infection cases, all the bad stuff could mess with your Mac files as well as your PC files. You will definitely want to protect your Windows installation anti-virus software. You should also consider installing anti-virus software on the Mac side as well. Tekserve carries the Intego Dual-Protection suite with anti-virus software for the Mac & PC side of your computer.