Since I have been using WordPress for a few months for my Hindi blog, I did not go through the problems that a new wordpress user would have gone through. On the other hand, set-up was a breeze because I was used to having to translate stuff to Hindi everytime I tried out a new theme on my Hindi blog, or did an upgrade. Also, typing in English is so easy as compared to typing in Hindi. Still, I went through the following problems, just in case you encounter them too:
1. Being the cheapstake that I am, I registered this domain when yahoo was selling domains for less than five bucks a year. They keep taking the deal off and on, though it is on as I am writing this. I bought webspace from shieldhost for about two bucks a month. That is what gave me some pain.
2. I am used to FTP stuff through Explorer (Win Explorer or IE). This doesn’t work with Shieldhost. So, I had to download and use WS_FTP.
3. I tried to set up subdomains, but even after doing everything right, it just won’t work. Finally I googled the problem and was told that I have to ask the host to do it manually for me. They don’t seem to say this anywhere on their site. But, well, I had to write a support ticket and thankfully they responded and acted within a few hours.
4. While trying to edit the presentation files through WordPress control panel, it said the file was not writable (this didn’t happen with my previous server), so I had to chmod 666 all the theme files.
5. I want to have pretty permalinks, but still have to figure out if I have .htaccess and how to make it rewritable.

Raman ji
These are just growing pains. Setting of sub-domains varies from host to host. I am able to do it from the cPanel.
Another thing I would recommend is access your account using ssh or shell. That way you would be able to more things. Once you have shell access let me know I might be useful at that time.
Pankaj
It seems Yahoo again closed their offer of $4,
Keep an eye, whenever it opens, let me know, I would like to try another domain on another hosting company, like you, for easy and smooth transition.
[...] have been using Shieldhost for about two and a half years now, and in spite of the birth pangs my blog went through due to Shieldhost, its service had improved a lot in recent times. It did not [...]