Bare with me on this, this is probably going to be longer then it needs to be.
I can see the appeal for many Bronys, heck I can see the appeal for anyone, your getting a chance at a new life, a new start, a fresh start, free from the ideologies that this world has placed on us, free from the sadness that everyday life brings you.
Here are the things you need to think about:
You are leaving this world.Are you going to tell anyone before you do it? Your parents? your friends? Anyone, after all your leaving, no way back this will be the last time you see anyone, any place, anything from this world be but a memory once you leave.
Are you ready to leave all your things?Remember, Equestria does not have the majority of things you take for granted everyday, no internet, no TV, no gaming system. Remember Equestria is an egalitarian society, to stay there you need to work like everyone else. That's right work, no letting other's do work for you, you need to get out there and make a living, find what you do best ad stick to it. One thing that this world does not have is the seance of community on a large scale, the majority of people 9as sadistic as this sounds) are out for them self, heck your out for your self, that's one of the reasons you want to leave. So remember you need to work, it's not going to be all fun.
Are you ready to Re-learn all most everything?History, Science, Magic, society, locations everything will change once you leave, the world is extreamlly different, your going to do have to alot of work if you want to truly belong there. As we have seen the majority of things that happen there are impossible here, and vise versa, your going to have to become a new pony before you can become part of society.
Ethics and Morality
Remember what Equestria is, how it's ruled, the laws are different,t the punishments are different. Alot of your morals there may be wrong, the society it self is almost a mirror to our own, what is deemed acceptable here may be extreamlly wrong there. Your going to have to learn to adapt, it will be incredibly hard, you may as well be a foal.
Your BackgroundYour going to have to think of a backstory, one that can't be proved wrong once you get there. A pony appearing out of of no where with little to no knowledge of the world is going to be odd.
This are just some of the few things, you would need to think of before doing anything.
Personally, I would, I love the concept of an egalitarian society. It would be almost impossibly hard to leave everyone I cared for, but they would know I was happy, and i can only hope they would support me. I would be prepared to re-learn all most everything, I love Greek mythology so the majority of learning would be interesting. Personally I would be a Pegasis. Learning magic at such a late age would be hard enough. Learning to fly probably won't be easy, but I think with enough work it would be possible. Plus it would mean I could get a job doing manual work that needs little to no prior knowledge to do it, Magic would be a hindrance as you would need to find a job while learning.
...But that's just my thoughts