I've been living abroad (US) for 13 years now. The biggest challenge is coming froma country with few options to moving to a country with so many options. Navigating the immense amount of options from different types of mortgage financing to educational options is just so incredible.
Another challenge which is the hardest is leaving family and friends behind-not attending birthdays, weddings, and funerals because of the distance apart.
The best part about living abroad is that you get to see your birth country and the rest fo the world from a different perspective. Don't be fooled when they tell you that the grass is not greener on the other side..... it is-you just have to prove yourself when you are foreigner in a first world country - the rewards are immense!