I had the benefit of taking some time before leaving to build a client base so I wasn't leaving "cold turkey". Have been living in the developing world and working remotely for nearly four years now and I really enjoy the freedom it has given me. Some of the challenges are:

1) Being alone all the time can make it hard to maintain motivation

2) Having multi-day fights with local ISPs when they randomly cut or throttle my connection (always have a backup mobile dongle)

3) In a hot climate, being tied to a laptop doesn't do great things for your body. I was previously working on physical construction projects 50% of the time and the other 50% was spent on the computer designing and managing those projects. Now I'm just on the computer 100% of my working time and find it hard to stay in shape - I find gym's unnatural but I have to deal with that in order to stay in shape.

4) Not seeing people eye to eye means you have to get good at written communication, fast.