Rust is definately the biggest thing. Check everywhere, battery tray and bulkhead, chassis rails, sills (especially on the GTI), arches. Also pull back the rubbers on the a-pillars to check for rust, as that's getting to be quite a hot spot.

Outside that, the engines are pretty robust if looked after. Idle valve is the only annoyance, and is a bit of a git to replace, you need bendy wrists

Bolster wear on the driver's seat is dead common, and the gearknobs wear badly too. It's all standard Escort fair mechanically though, except the all have ABS. The above is correct, the brakes are a bit on the rubbish side, but it's easy to upgrade. RS2000 stuff bolts straight on, though the Cosworth/Mondeo 24v stuff is much better. The rears are ok, my handbrake on my Escort with drums holds the car just perfectly, it just needs to be well maintained. Many just have knackered cables or need the rear brakes replacing. Fitting the MK5 RS beam can make them sit funny, and the MK5 rear beam doesn't support ABS. If you want rear disks, you can use the Focus ones and keep the ABS, but it's a bit more fiddly.

They are dead cheap to look after though and can be good fun. Think the only problem nowadays is finding a nice one that hasn't been raped to within an inch of it's life!