What concerns should I have installing a HVAC unit and ducts in a home that's never had it?
The easy challenge is finding somewhere to install the internal half (blower and coils) of the unit. You need to have space, access to service it, a place to run the lines to the outside unit, and power. Power is typically 220, and will need a dedicated circuit, so you'll need to be able to run another line from the breaker panel and have enough additional capacity on the main breaker. Finally, the largest challenge is running the ducts to each of the rooms. In an older home, the joists will frequently be solid and cannot be cut to pass the ducts, so you are left with using the craw space beneath the home, attic space, or enclose them below the ceiling/along the walls.

One final consideration is that a home built this long ago without an hvac unit will likely have little insulation or weather stripping. This means a lot of the energy used to get your home to the right temperature will go right out the walls. To do this right, you could be looking at a situation with all of your exterior walls are opened up to insulate, windows are replaced to prevent drafts, and lots of interior walls and ceilings are opened up to run the lines.

Depending on the home, and especially the layout, it could be cheaper to buy a similar home that already has an hvac installed.