Maighstir: The most annoying thing is the cabling, if you want it to look good rather than tripping over the damned things constantly, and depending on how many cables you decide to run - you'll obviously need power, but also at least one of HDMI, VGA, RCA composite, or SVGA, depending on what you want to connect and what your chosen projector supports.
As for space - if you mount it in the ceiling like I have, and we do at work, it practically takes none.
Oh, the cables! I had not considered that! But I saw some small projectors on sale. Maybe you could put them away after use?
If you have your projector on the ceiling, then you have really dedicated yourself to that setup.
One final question (I hope): ambient light levels. When you want to make a sporadic use of that screen, can you do it? It may take a few seconds to warm up, but if you don't want to turn down the lights, my (limited) experience says it is not very usable.
Watching movies, playing games with a gamepad, sure, those are long-term activities with little interaction with your environment. But using a keyboard extensively, taking notes, or if dimming light in the room is not desirable or possible, I think a projector cannot really replace the screen. So I'm guessing you also use a screen at home.