I really should be studying instead of being on this board... ha ha.
But you will lose faculty relationships that you've built, especially with small section professors. Also, professors aren't too happy to see you leave (a school pride thing). For the law review, it's harder to get on, but it's doable, many schools like HLS and CLS require you to enter the writing competition sometime around May (during finals) prior to applying to the schools. But if you're trying to get onto another journal, or applying to GULC (which has its own transfer writing competition for all journals in June/July) then you'll probably get on because the writing competition is later (after acceptance for CLS, and during orientation for NYU).