The big gotchas (other than the additional cost of the fixtures themselves over standards lavs) is getting an plumber experienced enough to place the rough in at the proper height and depth. What that proper height will be will depend on your choice in vanity and sink combo. You have to plan everything out from the beginning in much more detail. There's no running out to a box store to pick up a faucet because you have the plumber scheduled to come and you still haven't made up your mind. Whatever you pick, has to be done on the front end, and all designed to work together properly without splashing, and you're not going to "just change it out" down the road if you change your minds on finishes in 5 years. The valves are in the wall, just like with a shower. You're marrying it, not dating it.

Probably more information than you want but I'm posting this anyway.

I'm doing a total remodel on our bathroom. We took everything out but the subfloor and ceiling. The drawing I've included is my plan for the wall mount faucet. It is a Hansgrohe. I am having the cabinet custom made by a neighbor. The sink will be my creation out of soapstone. And like Hollysprings said, I had the plumber work real close with me to get the measurements in just right, (keeping my fingers crossed). This bathroom has historically been used as a mud room too. It will continue to be a multi purpose room on our working farm. That said, I wanted a wall faucet for glam. I wanted a sprayer too. I wanted a nice looking laundry sink. So, I designed all these into one. Here is the drawing of what I came up with. and a photo of the rough in. As you can see the rough in for the faucet is to the left and hopefully at prescribed height :) The copper on the right is for the sprayer (an expensive luxury from Kohler). I have faucet over load. But I want this room to have options with water. I will have a tub too for the kiddies baths. Oh, and I can access the plumbing from the neighboring room's closet if I need to in the future. Like Hollysprings said you marry this faucet, I like that expression. But we install showers this way so why not.
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I agree with the point about marrying the faucet, but I intend (hope) to hold onto all my faucets for a long time. No serial dating.

We installed our wall mount on a new wall, so we didn't have to open anything up. As enduring notes, showers are installed in a similar fashion, so the concept isn't new to experienced plumbers. I love my wall mount, and they are valuable space savers, particularly if you have a shallow vanity/counter, which is my case.

I probably wouldn't bother is I had a full depth vanity and if it would mean opening up an existing wall.

Despite the added installation hassle, I like wall-mounted faucets from a functional viewpoint. They stay clean easier, with the knobs or lever typically further from the spout, and the vanity top surface unencumbered with faucetry. They allow a larger bowl in the same space, or a useful ledge at the back where the faucet would have been.

I am looking forward to the nice tidy function that Lee676 mentions. One main reason I went with the wall mount was for the same reason Sochi said, and that is for room. I have a fairly small bathroom and wanted to have 30" between the toilet and the vanity, which will be across from each other. The vanity I drew up is 18" deep giving me the room I need.