Stress
Running your own business is one of the most stressful things you can do, and it doesn't help that no one's buying grand pianos by the dozen. You'll probably spend a lot of your time crunching numbers and wondering if you'll make enough this month, at least in the beginning.
If you manage to establish yourself and start running a steady business, you'll be able to relax a bit, but you'll still have to deal with the stress of managing employees and dealing with customers. Take it from us: we've been customers before, and we can be the worst.