Not sure the states involved, but there might be some extra paperwork and issues for getting the car across border and having it registered in your home state. It's important that the dealership you're buying the car from helps you with out-of-state registration and DMV work.
Concerns otherwise? Not really. It's quite common actually where people buy out of state. I've done it twice and it wasn't a big deal.
It's also a good idea to look into the requirements on your state DMV site on how to bring the new car back into the state. There might be some issues with registration/tax credit n stuff...
This post was edited on 11/8 at 12:53 am