I actually did that. I left a well-paying job for a slightly less well-paying job as a very junior developer.
There are definitely challenges. There's a ton of stuff to learn, from programming technique and style to version control to team planning strategies.
Probably the biggest thing I wish I'd been able to learn in school was about what it means to deliver. There's a world of difference between knowing that I can solve a problem and being able to realistically estimate the time it will take me to do so. Especially at the beginning, I lost a lot of face by saying I could do things that I couldn't.
There's a similar gap in expectations. There have been a lot of times when I've sent something into review that I thought was exactly what I was supposed to deliver, only to have to redo it later. I had to learn to ask for feedback early and often. It's also much harder than I thought to differentiate between implementation details and details that will be significant either to calling code or to my ability to build out features later.
Probably the hardest thing, though, has been the feeling that I might not be able to overcome the perception that I'm not good enough to be given important tasks. When I think about it rationally, I can satisfy myself that I am getting better and better assignments, and I'm showing I can get them done. But it's sort of demoralizing to feel like I have to prove myself all over again.
So those are the tough parts. Honestly, I still feel like it was one of the best decisions I've made. There is no way I would have been able to learn this fast or this much without the kinds of colleagues, mentors, and especially problems this experience has given me.