The biggest challenges for me were:
1. having to move the position of the differential for the front axle, because on the unimog it is on the wrong side. This is made doubly hard because the axle tube is double walled, and also the half shafts have to be changed too, in order for the diff-lock to be maintained. the best bet is to buy a set of axles that have already had this modification done by a competent engineering firm.
2. the physical size of the diffs themselves. not a problem at the rear, but at the front this presents a total nightmare. the sump hits the diff, the propshaft runs at a crazy angle, nothing works. I did the rear first, which was a piece of p1ss, but when i lined everything up for the front, i nearly burst into tears...!
Obviously these problems have solutions, but there are compromises that also have to be made.
As regards cost, I picked up pair of converted axles for £1,500 which I think was a canceled order. You may have to pay a lot more, but my conversion ended up being significantly less than the upgraded LRs that I compete against, when you factor in hi-spec components such as diffs, ARB lockers, half shafts, CV-joints, flanges etc etc. The Unimog diffs are so over-engineered, you don't really have to worry about anything breaking, they come with diff locks, and they are geared down so much that you can get away with enormous tyres and still have a really low low-first.
My only advice (other than to go for it
) is not to attempt the diff swap-conversion yourself. Get an engineering firm to do it, and make sure that they angle the nose of the diff up a few degrees so that it points at the output shaft on your transfer box. Most guys in the UK use these axles on specials, and so they move the engine and gearbox toward the centre of the car, which solves all the front end problems, but I was converting a completed vehicle and couldn't face doing that. With the benefit of hind-sight, it may have been easier...
Good Luck!