Here's a beginning list. This answer is community wiki, so if you want to add new things or comment about old ones, you can just edit it.
I primarily talk about how Cocoa is different from C# (not the other way around). This is by no means a prerequisite, but if you know some third technology like java or C++, they are more similar to C# and .net than they are to Cocoa and Objective-C.
Visual Studio --- XCode
- XCode has Autocomplete, but its not nearly as sophisticated as Visual Studio's intellisense.
C# --- Objective-C
- Objective-C code will look extremely different from C# code just because it uses a messaging syntax instead of C#'s dot-notation for calling functions. It isn't really a huge deal once you get used to it.
- Sort of as a consequence of this, Objective-C lets you send messages to nil (aka, null) objects without error. The return value from a message send to a nil object is just nil. So there's a lot fewer checks for nil before sending a message to an object. This really trims down the amount of boiler-plate code.
The Frameworks
- Cocoa is very callback driven. Many operations are performed by asking a random object to do something and call back a function (specifically, an Objective-C selector) when it's done. This can often tie in to the delegate pattern where you ask an object to do something and it calls its delegate when it's done to let the delegate know. I almost never use callbacks (or Delegates) in .Net so it took me some time to wrap my head around the control flow when managing tons of callbacks in a Cocoa app.
Miscellany
- Cocoa's GUI's are made in InterfaceBuilder and saved directly. They aren't compiled into any sort of imperative code like in .net
- Cocoa has garbage collection with Mac OS X 10.5, but if you're developing for previous releases or for the iPhone you have to implement reference counting in your classes, which can be annoying for a .net developer used to garbage collection.
- Different event-handling paradigms. There are no event-handlers in Cocoa, you have to use controller classes for hooking up your user-interfaces.