The challenge I found was to decide on a distribution and then stick to it.
Its difficult for would-be Linux users to commit because different Linux fans will praise or rubbish the various distributions and Windows users don't know what choices to make. I tried Ubuntu linux for a while which some praised as being so easy to get running given its Debian roots whilst others have rubbished it in favour of distros like SuSe which I have no experience of.
The other problem is having some understanding how Linux works! Most "power" Windows users know the file system, system configuration, settings, basic troubleshooting inside out, whereas if I sat at a linux PC right now, I wouldn't know anything at all about it.
I did get on OK with Ubuntu, managed to install a few extra program packages etc but the best bit was things like networking and hardware worked out of the box (was an old Dell PC). I found the range of software supplied as standard to be confusing, as many programs duplicated the functionality of others (at least you have a choice!) and things like the "multimedia" applications would only play audio or certain formats (even with propriatory libraries installed) so there seemed to be a lack of a all-in-one multimedia player bundled with the software whereas on Windows things like RealPlayer, WMP can play virtually anything audio or video. ... I'll stop boring you now!