issues that could arise is being able to access their servers via remote access or a vise versa, some servers dont allow for that.
Also, if their site needs to access your server for it to work,and something happens to your server, alot of other people's site goes down, so you'll definately want some kind of redundancy.
Other then that, its simply a matter of making it easy for them to access your server, if your doing file uploads you'll need access to theirs as well.
With the internet, there is always security issues, if your have info for other peoples server be sure to protect it well, on a part of your database that isnt the shared public one.
Other then that, its really about tackling individual problems you'll find with compability and other, such as different PHP version and so fourth.