The problem with working directly for a US company is that they might say no if they don't have a tax nexus in your country. If they do, they're familiar with the various rules and fees and taxes involved in employment. If they don't, they will probably want to make you a consultant and so make all this stuff your problem rather than their problem. As a US-ian outside the US, you'll be filing US taxes every year no matter how things work out. Unless your country has lower tax rates than the US, or you do things like winning the lottery, you won't pay but you'll have to file and await your refund.
And the biggest thing you should do is set up and maintain a footprint in the US (such as a PO box). Not every country is "supported" by things such as Vanguard or Fidelity so having existing retirement accounts locked will be an unpleasant surprise (Canada, for example). Having some US footprint also makes it easier to keep a US credit card active along with various e-stores. Set this up BEFORE departing.