The only real hassle was getting all the libraries compiled and linked correctly, especially when I wanted to move from the standard defaults. Make sure there are separate debug and release libraries. Do you build for 32-bit only or also 64-bit, and maybe PowerPC if you're on a Mac? Do you go with dynamic linking, where you have to make sure you bundle all the libraries with your game and link them correctly, or static linking where you have to make sure the compiler links with the right libraries instead of defaulting to the dynamic ones.
It wasn't particularly difficult, but it did involve heaps of retries and fiddling with settings to get it done right. I must of recompiled and reinstalled the Allegro libraries about fifty times.
I'm going with static linking BTW, because I think I'm less likely to screw up including the right libraries at release time. I'm not sure about the 32-bit vs. 64-bit decision. I don't think it will make much difference to compile for both, but I also don't think it should make much difference for the sorts of 2D games I want to make to stick with 32-bit only. I had a check of all the games installed on the iMac I'm developing on and all the games appear to be 32-bit only (or older, PowerPC and/or 32-bit games; no 64-bit at all) so I assume there is some reason behind that.