I think the main "gotcha" when I moved from SQL Server to Postgres was I
didn't even realize the amount of in-line t-sql I would use to just get
stuff done for ad-hoc analysis. Postgres doesn't have a good way to emulate
this. DO blocks cannot return resultsets, so short of creating a function
and dropping it, it's not possible to get the same workflow.
The lack of GUI tooling was also a huge "whoa" moment for me, which I still
grapple with.