Stress factors include:
1) Getting very, very poor sleep, which can last anywhere from 2-12 months depending on your kid and your parenting technique.
2) Higher monthly expenses, plus a potentially-giant bill for the birth, on top of a year of smaller but still substantial bills for various things. This will be worse if the pregnancy is split over two years of insurance deductible (probably irrelevant in countries with medical coverage systems that aren't totally broken, but very relevant in the US)
3) Having your free time (including kid-free time that you have to use to keep the house in something that resembles order if you squint at it really hard) drop to ~25-30% what it was pre-kid. (you can gain a bit more by making your sleep even worse, though. Hooray?)
4) Your house will be kinda messy and gross even if you try hard to keep it clean, which is discouraging and stressful.
5) Leaving the house and getting out of the car now being A Whole Thing instead of something that barely takes any time or effort at all. Everything you do that isn't sitting at home in your pajamas is much more difficult. Even that is, in a way.
6) You no longer actually have time off, ever. Not in the sense you did before kids.
7) If you're a woman and want to breast feed... oh god. It's bad. Even worse sleep, and you'll have either a baby or a noisy milking machine attached to you seemingly all the damn time, which is incredibly inconvenient if you need to do anything else at all ever.
Go ahead an multiply the stress of the above by a factor of 10 if your new kid has serious health issues.