Cold Fusion can coexist in the same server with ASP.NET. They are different technologies that are controlled by different frameworks. (Cold Fusion is a Java-based product, so it depends on Java Runtime,
while ASP.NET relies on Framework.NET )
"... are there any gotchas I should be concerned about?"
Yes, there are some gotchas, particularly with Cold Fusion. It is well known that Cold Fusion is a resource hog. So, if your Cold Fusion app is resource intensive, you are more likely to get performance problems and more frequent server reboots.
"How easy is it for CF and ASPX pages to "talk" to each other?"
I dont know exactly what do you mean with "talk", but I can assume that you refer to Cold Fusion pages exchanging data and/or events with ASP.NET pages. In this case is not possible (not that I know of) to do this, unless there is some intermediary like XML or some other data exchange format.
"How easy is it for CF and ASPX to expose webservices that can be used by the other type of page?"
Cold Fusioon has some very rudimentary tools to expose web services and XML data. Of course, once the data is avaiable in XML data it can be consumed by almost any decent application, including ASP.NET apps.
"Other issues?"
Why do you want to have ASP.NET in the server with Cold Fusion? Why Cold Fusion at all?
HTH....