I never shoot Black & White, simply because 95% of my shots are destined to use color. However, I do the occassional B&W conversion using a) the conversion feature of Lightroom 3 or b) PS5 with Nik Silver Efx.
The primary difficulty I've noticed when converting my color photos to B&W is the appearance of noise. In the process of converting a color photo to B&W, the levels of various colors sometimes must be heavily tweaked and the contrast values pushed higher than normal. This severe tweaking can sometimes create a noticeable "grain" in the final B&W that is neither attractive nor easy to get rid of.
This doens't always happen, though. The factor that plays a large role is the degree to which the levels of brightness and color must be tweaked in order to acheive the desired B&W result. Derrel already covered criteria for a good B&W photograph as opposed to a good color shot. In my experience, the original levels of brightness, contrast, and color in some photos work very well in Black & White... in other cases, achieving the result means heavily modifying the original such that, were it left as a color photo, you'd see tons of luminance noise (also color noise, but usually less so). That luminance noise becomes the unattractive granularity in the B&W conversion.
A quick example: some B&W photos look great when the sky, originally blue in the color photograph, is tweaked to be very dark in the B&W version. But this generally requires tugging and pulling the blue color data so far that posterization occurs and/or edges around clouds become unrealistically grainy.
On one hand, it would seem that shooting Black & White would eliminate this problem by creating a photograph in which the blue sky would be nice and dark as desired. I don't think this is really the case, though. I'm pretty sure that when you shoot Black & White, you are simply allowing the camera to do the post-processing for you... it is STILL going to "see" a color image. You'll always be afforded more flexibility if you do your own B&W conversions from color.
I would say that the best thing to do is continue shooting in color, but use whatever color filters you would desire for your B&W shot. So, for instance, you would shoot with a red filter if your goal was to achieve a "dark" sky. Then run the B&W conversion digitally as usual. That dark sky should be much easier to acheive without having to tweak the original color data so much that it begins to degrade the image.
Of course, as Derrel mentioned, the benefit to shooting Black & White is that it would give you the ability to verify that you achieved a capture which will look close to what you desire as a B&W photo.
If, as SrBiscuit mentioned, your camera will display a B&W preview but record the full-color RAW data... that would really be ideal.