The licensed game is perhaps the thing that offers the most joy in roleplaying, and also the most misery. It's a double edged sword, offering the chance to immerse yourself in the worlds from favourite books, comics, TV shows and movies, but it is also something that is fraught with danger at all levels. Commercially it offers the lure of new players, flocking to your company to play whatever it is; people entering the hobby for the first time and giving you their money in at least enough numbers to offset the price of that license that allowed you to create the game in the first place. Of course that means the product has to sell, and often sell well; many companies have suffered not because their games haven't sold, but because they haven't sold at a level acceptable to whoever they bought the license from. Marvel Comics and Star Wars are probably the most famous instances of this; Margaret Weis Productions lost the Marvel license simply because the sales were not high enough.
The advantage of playing a licensed game is that it provides an easy jumping on point for players old and new, there's little explanation needed of what things are and if there is. You can push the source material and say, 'its like that.' In many ways its a great leveler, and it should cut the work the GM has to do because you can offload it to the source. Of course, this relies on the players getting up to speed, you can't force anyone to do anything and if someone just isn't going to read a few short stories or watch a couple of episodes of whatever the game is based on, then you're out of luck. I would imagine that you're also opening the door to a lot of a tangents along the lines of 'do you remember this from episode x?'. That's more to do with keeping control of the table though, and ensuring the game keeps moving (if in doubt remind everyone that you're there to play not just chat).
The other challenge is to create something that feels like the source material to justify the label, but at the same time isn't so much like that that the group's voice gets lost. This can be attributed to both system and 'voice', the nature of the game itself. System-wise, there's the challenge of having mechanics that support the style of play envisaged by the original product. Star Wars Saga edition is famous for having a slow, clunky combat system that does little to emulate the high octane fights of the films. Whilst I love the Laundry Files, I must admit that in some ways I didn't think the BRP rules set was the perfect fit for it, if only because the level of craziness was a bit too high. The Computational Demonology rules always seemed a bit of a stretch too, never quite meshing with the system in the way that the Sorcery rules did.
In contrast the Cinematic Uni System always felt like it was the right tone and level for Buffy and Angel roleplaying, the skills are tailored to the audience, allowing the flavour to exude into the game elements as well as what the GM says. The One Ring, in a similar fashion, has mechanics that go out to mimic the structure of Tolkien's work, including travel and adventure phases. This is vitally important, you need the mechanics to underpin what you're trying to do, rather than fighting it.
The issue I've found in actual play is that it can be quite intimidating to run something that has a strong authorial voice. I'm not Joss Whedon, how the hell am I meant to run something that's as pithy as Firefly or Angel? It feels as if it should put constraints on the GM and the players - should player characters be as funny as Captain Mal, or can you get away with just playing the way you normally do? Should the NPCs be full of wisecracks too? If not, are you actually playing the game or just a stripped back, almost version? I'm not sure how you square that circle except through lots of talking before you start to play.
The less strong the 'voice' of the source material, the easier it is to adapt to games. I can busk the Laundry Files but that's because the game encourages you to chop it up with spy and horror fiction you like, and Call of Cthulhu, which is technically a licensed game even if I doubt Chaosium pay a penny for it, is easy to capture Lovecraft's voice in. You just need to push towards the purple end of the prose spectrum. Doctor Who has had so many incarnations and tones that if you throw a stone you'll hit practically every type of story and flavours. The game is pretty much limitless in that respect, just as the source material has been.
The last issue, for me, is how flexible these games are. Do you just play at fighting the Empire over and over again? The latest Star Wars seem to be chopping the setting up into different functions, which seems like a good idea, but I imagine for many players the essence of Star Wars is fighting the Empire, even if that might feel as if all you do is repeat the actions of the films. Similarly, does Doctor Who allow for more than tiny adventures that must, against all odds, build up into something more significant (I know the Key to Time and E Space Trilogy are there to use as inspirations but the show has generally been episodic, especially since the reboot). I find myself wondering what the point of playing them is, if you can only ape the published material, and salute the companies who are taking the time and effort to break away from that sort of stereotype and move their products into new areas.