In addition to pretty much everything that has been mentioned...
I didn't realize how monotonous these early weeks would be. It's literally eat, nap, cry, soothe, change diaper, repeat. I knew it would be that way, but I didn't realize how draining it would be. ("didn't I JUST change you?!").
People said "enjoy your sleep while you can!" and I get it now. At the end of pregnancy I couldn't wait for her to be out so I could sleep on my tummy, not have heartburn, not have aches and pains... but now that she's out I'm not sleeping because she is up constantly throughout the night. The stop-and-go nature of nighttime sleep is really wearing me down! I don't function well on broken sleep.... uh oh!
I thought breastfeeding would be magical and a great snuggle sesh with my DD... it's not (not yet at least?). BFing has been stressful and tear-inducing, and not nearly as "natural" as I had imagined. Hopefully it gets better.
I miss the convenience of just running out on an errand - I can't just jump in the car and go to the store for something, and I often feel trapped in the house and helpless.
I can't wait for her to become more interactive and responsive, and for routines to be established!