Two primary comments:
1) EXPENSIVE!!! Much more expensive than you can imagine, when it's all said and done. Buying things, preparing, selling / storing items / your car, luggage, plane tickets, out of country tuition fees, residence fees, food, transportation, basic furniture you got stuck without, health costs, spending way too much money on garbage because it's foreign and interesting, etc.
2) HARD!!! Much harder than you think. You leave almost everything and everyone you know behind, minus a few things like your computer, internet, faith, etc. If you can't speak the language, it's even harder. You have to start over at ground zero for social contacts, and all that inside knowledge you have of where to get cheap stuff, what you really need to buy or not buy, what's appropriate to do in a restaurant, how to act around a teacher, etc., can all be very uncomfortably challenged/changed.
Also, perceptions of you will vary immensely. Some people will love you just because you're a foreigner (depends on the country), and yet some people will purposefully avoid you with a passionate because you're a foreigner. No place is that stronger than Japan, where I live. Regardless, if you're American, you have to deal with ... you know... those crazy people who decide to lecture you (in public) about weapons, war, George Bush, American foreign policy, and all that stuff. They don't even start with their name, they just go straight into their pre-programmed socially popular "I hate Bush" tirade. Ugh... so unoriginal, it's not even a fun conflict moment. If someone hated me for an original reason, at least it might be fun to discuss it with them, but the whole attack Bush/America/Iraq War thing is so old.
In fact... just last weekend some guy had to approach me and tell me how much he hates Americans, hates Bush, cause "we" (I wasn't there) used the nuclear bomb on Japan. Yes yes, I know, Bush is the reason the bomb was used on Japan, Bush caused hurricane Katrina, Bush is all that is evil within the world... yada yada.
Sorry to rant, but be prepared man... people are cruel.