We jumped into unschooling without many expectations. Self-education is still an experiment in which we are all learning how to support each other. As the primary educator, I've been surprised to find the following challenges:

Money - I want to do more than we can reasonably afford. I want to travel more, take more classes, and buy more supplies. We carefully select what experiences are the most appealing and invest in those.
Time management - I don't mean in the 'we don't have enough time' but the 'what the hell do I do now' sense of the word management. I am a planner but Lil and Alex are not. They have no trouble filling free time with games, reading, and entertainment but I am often at a loss. We're working on the right balance to please us all.
Difficult subjects - We are not tracking Lil's learning per se but I do note where there are gaps and try to incorporate more teachable moments into our life around difficult subjects. For instance, math facts don't come naturally to Lil. Whether we incorporate addition and subtraction into games, everyday life, or written work, she feels frustrated and wants to give up. I don't believe that coercing a kid ever results in true learning so we just bear on with sneaking practice in where we can.
News - Goodness I miss listening to NPR news. Now that Lil listens too, I usually have to turn it off. Answering her multitude of questions, 'who died?' and 'what's rape?' and 'why will Texas kill him?' and 'the United States army?', is too hard on us both.
Me time - Of course, lack of time to myself wasn't unexpected. But until it actually happened, me going for weeks without an hour at home without another person in the house, I didn't realize how I would feel. I have had to shift patterns in my life because I now almost never have uninterrupted time to write, pay bills, or just think. Strangely the lack of quiet time makes me crave my family more because it just seems too quiet and I am too lost without them.

And of course, there are unexpected benefits:

Stretchy pants wearing - There isn't much need to dress for class when you teach from morning through the night. I do typically change into public-friendly clothes once a day but I admit to wearing pajama or yoga pants an awful lot of the time.
Educator discounts - Retailers from JoAnn's to Barnes & Noble to World Market give teachers discounts. This list includes 66 discounts (hat tip Cbus Mom) and I'm sure there are more. Most allow home educators to partake. I appreciate the generousity because homeschooling is an expensive proposition, see number 1 above.
Sleeping in - Lil is the best daughter in the whole world because she loves a late wake up as much as Alex and I do. Seriously, most days we are all asleep past 9 am. We are so NOT morning people that now I wonder if we could ever get her to school before the first bell.
Noticing leaps in understanding - This week something 'clicked' and Lil suddenly understood how to read music note rhythm. This isn't something I taught her because she has resisted my instruction. Suddenly she wanted to learn and BOOM! she was clapping rhythms like a Suzuki champion. I don't know if I would notice Lil's progress so distinctly if she were in school.
Support of family - Initially I felt like homeschooling was going to be 'my' thing. A truly delightful surprise is that Alex, both sets of parents, and all Lil's aunts and uncles are taking a role in educating her. They give her learning supplies, experiences, and support in ways that I could not have imagined when we started this year. Thank you, family, for sustaining us both.

Any other unschoolers want to add their benefits and challenges?