As beneficial as it can be to run outside, it also comes with its own unique set of challenges. If you suffer from seasonal allergies, remember to check the pollen counts, or plan to work out in the afternoon or evening, when allergens tend to be less severe. Always wear sunscreen, and perhaps even a hat to shield your face. Dress in breathable, moisture-wicking fabrics, and layer up during the Wintertime. Most importantly, listen to your body, and don't push it when the conditions are too extreme.
Remember too that surfaces like concrete aren't as forgiving as a treadmill, so invest in a pair of running shoes that will properly support your joints.