I have 2 small breed dogs, I really don't see any difference from having any other medium/big dog, except you have to make sure not to step on them
They are very cuddly, all dogs are, but small dogs really like to be on your lap a lot, I have noticed they also have more sensitive stomachs but it also depends on the breed... what breed is your dog? and how small is he/she going to be fully grown? As far as I have read and been told any dog that is under 5 lbs could mean a few health problems in the future.
As for training, there is really no difference, but remember that even once fully trained, they cannot hold it as much as a bigger dog would.