Lots of recordkeeping. Lots of players who try to game the system in various ways (which is what necessitates the detailed recordkeeping). Lots of uncreative DMs who will rigidly follow the adventure and not allow any deviation from it. (Although in fairness, the entire nature of the Living campaigns doesn't really allow for much deviation.) Lots of stupid restrictions on what feats, classes, spells, and items you can have as a PC - again necessitated by the munchkin players. Senseless and apparently random rules differences from one region to another. No clear source of information on rulings - you have to scour Yahoo! groups and message boards for tidbits of info. Awkward, unwieldy system for handling PCs of varying levels.
Even with all that, there is still a certain appeal to participating in this shared-world campaign. Rather like the feeling people get from massively multiplayer online games, I suppose. It creates a commonality of experience - different players can regale each other with war stories of how they each handled a particular adventure.
There's also the appeal of leveling up and getting stuff in a more structured environment. I suspect that most of us secretly wonder if our homebrew campaigns are handing out too much / too little XP / gold / stuff. Well, in the Living campaigns, all that is hardwired into the system. (Although you can still cheat, of course.)
If you can put up with the bookkeeping, the (completely pointless) politicking, and the annoying munchkins, the Living games can be fun. If that kind of stuff annoys you, then steer clear.