* registration of a limited company is not that simple in some countries. UK is relatively easy, but in Germany you need to invest at least 25,000 EUR just to get started. Half of it upfront. Not to mention notary fees and other red tape.
* VAT is a huge pain since 2015, especially for digital goods and services. Look up VAT MOSS aka #vatmess
* language - if you want to cater to a wider audience, localization is still a major aspect and costs a lot in terms of development, content, support etc
* employment rules are usually much more strict. This is generally positive for employed individuals, but when it comes to a small business trying to work with freelancers (or freelancers themselves), they are massive hurdles. I'm familiar with IR35 in the UK, but there's pretty much the same thing here in Germany without having a fancy name... I'm pretty sure similar rules apply in other EU countries as well, but have no actual knowledge about other countries.
Source: being a small fish entrepreneur in Israel, UK and Germany.
EDIT I should also add currency support. Whilst the EUR covers a fair number of countries, there are still exceptions...