If you want to find out more about the bad parts of getting a new job, check out any other blog post about getting a new job.1
About a month ago I started a new job; in a completely different industry. It's very different even though I have many of the same responsiblities as my past job. You may be thinking, "it's not a huge deal. Same thing different place." I would reply, "you're dead wrong."
My situation may be a little different than most. I attribute this to the fact that I moved from Indianapolis, IN, USA to London, UK. I was also one of the first few to transfer between divisions. But, I will argue that, for the most part, starting a new job is the same almost anywhere you go.
You've left what you know. You knew all the processes; had the tribal knowledge; knew who the subject matter experts (SME) were; knew your co-workers. Now, you know none of these things (generally speaking).
This may seem like a horrible situation, but it's time for you to be an optimist. You just got this great, new job! You have new domain knowlegde to learn! You will grow your knowlegdge base considerably with all the new tech/[insert topic here] you need to learn! You will meet new people!
You have a great, new job! You wouldn't have taken this job if you didn't want it. Whether it be because your old job sucked, you needed something different, or it was an amazing opportunity. It's the beginning of another chapter in the story of your life. You better start writing it sooner than later.
You get to learn about a different domain. Take me as an example. I used to work in Email/Digital Marketing. I knew a lot about how marketers go about their daily business, how they used our solutions, who are competitors were, etc. Now, I work in Social Advertising. I'll admit I know very little about it. I have to take a step back and learn. In the long run, doesn't that make me much more valuable? Two is always better than one (generalizing of course).
You will get to network like no other. It's not what you know, it's who you know.2 You made all these connections at your last job. You met the people that will, or did, give you recommendations. You now have the opporunity to expand your network even further. It's always nice to have people that can vouche for your skills and/or you as a person.
Who doesn't love learning new technology? This point relates to developers moreso, but if you're not one, replace the word with a skill you need to learn. I really like something I saw in a recent blog article I read. The author said, "Our technological skills are depreciating assets. New tech is coming out virtually everyday, so what you know now will soon be deprecated." This means you need to keep learning to stay ahead of the curve; to make sure you are still relevant in your field. A new job helps you do this more than you would know.
I think the hardest thing is meeting and getting to know your co-workers. Becoming part of the team can be rough, but it's well worth it. Teams need synergy, and finding what you bring to the table is one of the hardest things. It happens with time. Don't worry if you don't find it right off the bat. It was/is hard for me; coming to a city halfway across the world and knowing very few people is not the easiest.
Remember, what happens in your life is up to you!
1 Paraphrased from Douglas Crockford
2 I tend not to like that phrase, and usually replace it with, "It's what you know and how you demonstrate this in front of the right people."