I haven't found many challenges other than taxes and stuff like that. Many countries I find are not ready to welcome people that move around a lot.
As for the job itself I keep a pretty strict regime on myself so I still try to do all office hours and keep in touch as much as I can. It is true tho that you do get "cut out" a bit and it's probably not the best for people that want to climb the ladder. For me it really helped the fact that I worked for a full year in the office with the same people so I knew them pretty well.