The biggest issue I'm currently aware is tied to Alyx saving system itself. Loading saves in the first and second(less likely for the later ones) levels can cause a crash. That's why it's best played in one go - using the Map Selection can help you with that. Both these levels are fairly short, so it's not that big of a deal. Just keep in mind that you shouldn't rely on saves much and do your best not to die(which you should always do). It's sadly an issue I cannot fix, unless Valve fixes it, or unless I remove all the enemies from the map, which Isn't really something I'm planning to do :).
I'm sure most people probably won't even encounter this, because I made sure that there's a steady supply of health, ammo and if it's still too hard, you can reduce the difficulty.