The biggest problem with Mtgox was the security issues, due to CSRF attacks, which most likely occurred because the developer probably didn't have much experience with web security. You're going to need to keep on top of web security techniques and practices and be available to lock down the site if any exploits are found.
Also, if any personal information is needed, like SSN, Name, Address, etc. for legal reasons, your site will probably not kick off.
One of the biggest hurdles I agree will be anonymity. I would like to set it up so that anonymous direct deposits could be made, like E-Gold did a while back.
Our biggest legal problems will arise if it's treated like a currency, but if it's not, then we may be able to do this with complete anonymity. We're looking into that today as I type this.