Do you mean with regard to TV or broadband, or both?
There shouldn't be any problems with TV - you'll just have access to more channels via a satellite dish on the wall of your house and a Sky box inside. The best thing about Sky is SkyPlus, and I hope you've gone for that. My wife reckons a SkyPlus box is the single best technology item in our house, and I must admit it's seriously convenient.
As far as broadband goes I can't comment - I don't have any personal experience of the Sky service. You'll obviously need to get your MAC from your current provider, and ensure that you terminate your contract correctly. There may be a crossover period when you don't have a service at all.