Because the client-therapist relationship is unique, the benefits and challenges are also unique.
A benefit of the the client-therapist relationship is how it provides a space for healing.
We experience relational injuries over the course of our lifetime. These affect the way we interact with ourselves as well as how we interact with others.
In the client-therapist relationship, your usual narrative (which has been shaped as a result of your experiences, or those past relational injuries) is disrupted.
For example, maybe your sister once yelled at you for "always getting in the way," and now you struggle to insert yourself into conversations as well as other situations because you think of yourself as someone who must be unwanted. The therapeutic relationship would offer you the experience -- in a radical way -- of feeling wholly welcomed and wholly wanted. You would be not only allowed and encouraged to insert yourself, but you would be gently pushed to do so.
A challenge of the client-therapist relationship is that the relationship is a special one, but it is still a professional one.
As you experience this unique relationship and the unique space for healing that it provides, your therapist can become an important person in your life.
Some people report feeling attached to their therapist, worried about the time when the relationship will have to end. Others describe wanting to make their therapist proud, nervous about whether it's okay that they look for their therapist's approval. Clients will compare their feelings toward their therapist as those they might have toward a parental figure.
And, even though it feels taboo to discuss, some people even begin to have romantic feelings toward their therapist. (Know that you shouldn't feel ashamed about these feelings. Neither you nor your therapist should act on them -- that is a very, very strict ethical boundary -- but you shouldn't feel ashamed. You can even discuss the feelings with your therapist. But, make sure you come with the expectation that the feelings will be addressed as a therapeutic issue and only as a therapeutic issue).
There's even a name for this experience: transference. So, if you experience any of these feelings and you don't know what to do about them, talk to your therapist. It really can be a part of the therapeutic process to work through them.