Switching jobs and making a career change is a big challenge. New problem domains to learn, new working relationships to build, new brand of instant coffee to get used to. For a programmer one of the more interesting changes can be moving from working on web applications to desktop applications. Here are a few points that i've picked up having made the plunge a few months ago.
Control of environment. As a web programmer you have a lot of control of the environment your application runs in. Browser issues aside, once a HTTP request hits your servers you have complete control over what happens next. A desktop application has little control over where it is being run, what software is installed with it etc.
Managing performance. A desktop application performing poorly can be a nightmare to diagnose. The characteristics of the users machine and currently running processes are completly foreign. If your web app is running slowly you not only have the program available but intimate knowledge of the hardware and architecture it is running on. You can make tradeoffs on the servers that your users may not be willing to do for your desktop application.
24/7 operations. Most web developers will not only have to create the application, but support it as well. These problems that occur on live systems are usually given high priority pushing more long term work to the back.
I had no idea how narrow my knowledge was. I'd be interested to hear your thoughts. Have you made the switch from web to desktop, or in the other direction?