Always wondering if you're doing it the "right" way. That and _possibly _missing out on the jobs that require a degree. I have been bitten by both. There's also the condescending tone that other developers take when they find out you don't have a degree.
Other than that, I feel (very biased, of course, since I am self-taught) that self-taught developers have significant advantages. One of which is passion. That is why, nowadays, I prefer to hire passionate developers, not differentiating between self-taught and degreed. A developer who is degreed may not have the same passion as a self-taught developer, only working for the paycheck. That's not to say all degreed developers are not passionate. That's not at all the case. After all, they went for the degree for a reason, right? But, I tend to find more passion among self-taught developers.