The biggest challenge is realizing that a Corporate Captain is responsible for everything including dispatch, weather, weight and balance, rental cars for the boss. It is a less structured environment typically including training. I trained many Airline to Corporate pilots and they had a hard time with realizing that certain training organizations will not provide you with mandated call outs. Your flying skills should serve you well because you are doing more flying then the average Corporate gig. If you go to a private organization get ready for politics and a little sucking up too, it's just part of the game.