Stress
It's very stressful to work for very little money, not knowing how you will pay the rent or make ends meet. Like we said, nobody's buying music anymore (source).
It stinks to try to get your music on the radio—you'll need a good manager and record company. They might even bribe the station.
Once you've made it, you'll need to worry about keeping your fans happy. There's a lot of pressure to keep making music that's relevant, but not too different from your original work.
Be careful and practice some stress management techniques like yoga or something. You don't want to end up in the dead rocker's club.