1) Increased Visibility can cause organization crisis. Use an understanding of corporate culture to help prepare for this crisis.
2) Loss of titles. Agile tends to flatten organizational hierarchies.
3) People have to work together. And most people in large organizations work in groups, not teams. Small organizations might not have this problem.
4) Projects fail fast. They also can succeed fast... either way this can cause budgetting problems and all the corporate politics that goes along with this.
5) Sustainable pace. Some people like heroics, and most organizations respect and reward heroics - this is very very hard to change.
6) Feeling of micro-management. But teams are actually supposed to be self-organizing.
7) Less up front design. Getting started is one of the most difficult things for many organizations.
8) Flawed implementation of agile. Setting up the environment and the support a team needs is not trivial.
9) Physical reorganization costs. Although usually these costs are recovered in productivity increases.
10) Loss of privacy. It takes time for people to get used to working together.

This is a good list and I have seen all of these things be challenges to teams and organizations adopting agile methods. I've linked each one of the above to one of my previous Agile Advice articles.