When my N800 arrives, I'm going to do a firmware update, and probably end up with a custom kernel on there.

I'm just wondering what kind of stuff can go wrong when reflashing and how I may recover from it (e.g. if a non-working kernel is flashed etc).

In short - what might brick it, and how might I unbrick it?

It's lasted a couple months in my hands, I'd say it's pretty darn hard to brick

I've certainly screwed it up a few times, especially at first.. worst case I ended up reflashing.

Check the CRCs of the images you flash, follow instructions, keep backups, and you shouldn't need to worry.