Make sure you have a heatsink on the voltage regulator in my opinion. They cost like $1. You can also get heatsinks the ATMega chip though its probably not necessary but you can get them.
As others have said, power is your biggest concern. If you built your power supply make sure everything meets or exceeds the power specifications of the Arduino and anything else running off it. Even if you are just using a power brick, make sure that's not a total piece of junk. Ensure you have good power surge/spike protection...I guess that's about it.
Megas are pretty well made. Surface mount and the soldering is prtty good. It's not a crap board, so you are good.