I'd say that the biggest challenge I have in building models is dealing with the 1mm thickness requirement of the printer(s) that Shapeways use. 1mm in Zscale translates to 9 inches in the real world. I can't do accurate modeling of very thin objects such as a banister for a set of stairs. As new technologies are developed, I'm sure that this limit will get smaller, and I can do more accurate looking models.
I prefer to do design work in dimensions equal to real-world Feet. That way, if I measure some object in the real world, I can just enter those dimensions into the drawing program directly. When I'm done designing the model, I simply multiply each dimension of the model by 1.385, and upload the model to Shapeways as millimeters.
Some people prefer to work in units that match the final object. That's fine for them, but I tend to focus on getting my models as reasonably accurate as possible and it works better for me if I work in Feet. Working in Feet also gives me the option to multiply by some other scaling factor and produce models quickly in other scales such as HO or N.
The one millimeter wall thickness requirement means that I must make some trade-offs when trying to design the models. Plate steel items such as the tracks of a bulldozer would normally be no more than 1/4 inch thick. but, since we need 9 inches, we have to make the track significantly thicker. But, with a bit of fudging, you can achieve a look that usually will pass.
Note: to date, I have resisted doing models in other scales purely for one reason. This 9 inch limit demands that I design stuff thicker than it exists in the real world. If I were to work in HO scale, then the limit would be 3.5 inches instead of 9 inches. Yes, I could just take one of my models and multiply by roughly 3, but.. I would much prefer to have my models have a higher degree of accuracy. Unfortunately, that means that EVERY part on them has to be re-designed.
The "other" limit at Shapeways is the smallest size of a detail that you can use. Currently this limit is 0.2mm. Stuff smaller than that very likely won't show up. This works out to be approx 2 inches in Z scale. If you look at the bulldozer above.. the points on the tread should be about 1/2 inches thick, but because of this limit, they have to be designed at 2 inches thick.