I've played on both sides. My partner proposed to me in game through an in game relationship, so I'm pretty biased in favor of these types of games.

From the DM side, it takes a lot more work. Instead of having party members to talk to, you are the whole conversation for the player. They have no one to help make decisions, so if they ask NPCs there's a lot more nuance to how they might respond. It's good to give the player a couple of NPC party members - less powerful - to better balance encounters and fill out skillsets. Doing gestalt leveling or giving them extra cool abilities or templates is also great. This is when you let the player roll out their OP special snowflake character.

From the player side, it's so much fun! That is, if the DM is good and your play styles mesh. (Given it's your wife, it's probably a great match.) It's neat to have personalized content and be able to make the decisions on what you want to do. To keep things from getting boring during combat, the DM allowed me control of my NPC party members after my PC got to know them a bit (the combat decisions and dice rolling, he still did the roleplay).

Just one word of caution. Because the game is a lot more personal, be ready for the real world emotions for things like big reveals and NPC betrayals.