Yea.... it's quite a step to be honest. It's evil as well because at first glace it looks to be so very simple but then it turns around and bites you.
I speak from experience as I made this journey starting in 2003. Oh, I had no trainer either so I just learnt via bitter experience.
Know your limitations
I remember the first ever CF application. I was such an idiot..... I wasn't much good at developing back then either. First mistake I made was overestimating CF 1.0. I couldn't possibly imagine that the CF didn't have a read-write datagrid so I specced it...... then found out that oh yes, there wasn't one. So I had to write one myself (and remember I was rubbish at this time too). I hacked one into the existing datagrid (although tbh I should have just started from scratch). I remember that the "delete" function where I had to remove a row and then select the "now currently selected row" was hellish because it would go up or down depending on how many items were in the collection and where the scrollbar was.
There are many times that my desktop development buddies will categorise me as mad when I tell them what i'm working on.
"You're doing manual Xml Parsing? Are you crazy?"
"Ewwww code gen?"
"You.... re-use your windows forms?"
Yes, working on CF will make you look crazy to outsiders.
Performance
This can be taken to extremes but every little does help. If your building a big flexible application then think very carefully about perf. Consider replacing Reflection with codegen. Consider using an XmlReader instead of an XmlDocument. Sure this advice might be crazy in most cases for desktop but for CF it is sensible.
Know your PInvokes
In desktop land you can live in pure managed. No chance of that happening on CF. Some of the simplest things (playing a sound, setting the time, changing the volume, networking, etc etc) still only exist in the unmanaged world in Mobile. OpenNETCF have done an awesome job in exposing some of these but you will always stumble into one or two where you will need to write your own.
There is true, there is false but there is also FILE-NOT-FOUND
PowerManagement, how I love thee. In a usual C# app code goes the way of the logic (like a fork with an IF), perhaps an exception will be thrown and perhaps there will be many threads treading the path of the code. This is already complex. Add into the mix the idea that the power might vanish at any point. That's right, the using statement you were relying on to call Dispose might never call dispose because the device was turned off and then it ran out of power.
Device specific fun
Another big difference in desktop/mobile world is hardware and manufacturers. On the PC you can generally assume that the hardware will be okay and firmware updates should do the job. In CF a firmware update may well kill your code. Some hardware might sorta, kinda work if you bash it round the head in a certain way. Basically your device integration can (worst case) be a big black hole of time. Remember to work this into your estimates.