Definitely how much extra expense is involved. Stabilizers, designs, embroidery thread, bobbin thread.
It always seems so simple when they demo -- just choose your design and embroider to your heart's content.
There have been really good points made here about stabilizers and threads and knowing what's involved in digitizing, deciding if you want to make your own designs -- again a lot more expense to purchase software and make it compatible with your machine. Often, designs purchased online also need additional software to make them compatible with your machine, or even just to resize them.
I think I would have liked to know more about how long it can actually take to make a design, and how it will tie up the machine during that time. You pretty much need to babysit it too -- not just get it started and walk away till it's done.
There is that patience requirement. It really IS a learning curve, and there is so much to learn! A person needs a reliable source to help them learn and get good information and that is often NOT the person you are buying the machine from.