The first month of dreadlocks will probably be the hardest (physically). You're probably super stoked on your new dreadies. After hours (days if you did them yourself) of putting them in, you can expect some discomfort due to pulling by the rubber bands. This will go away after a few days. If it becomes too unbearable, its OK to loosen the bands a little bit. Refrain from cutting them out. Cutting them out too soon will only mean more work later (this can lead to congoing of massive proportions).
You can also expect your scalp to itch quite a bit. Try not to itch, as difficult as it may be. This will probably be the hardest part of the dreading process (for me anyway). This is why it is key to prepare beforehand by skipping washes until you can go at least a week without washing (the longer the better). If the itch becomes too unbearable, its OK to wash it with some really good dandruff shampoo (Neutrogena's Tgel works really well). Make this wash count, and really scrub with the pads of your fingers. Make sure you rinse good too. You want this wash to last you as long as possible. For me, it took about 6 months to finally get a handle on the dandruff. I used the Tgel with every wash for the first few months.
The first few nights of having dreads may also be a challenge. Newly tightened dreads can feel like sleeping on a pile of cords. The best thing to do for this problem is to sleep on your side. Eventually you will get used to it, and they will soften a little bit over time.