My financial thriller in progress is in the first person, the first time I've attempted that. It of course narrows the perspective of the narrative. No longer can you dart from venue to venue and from point of view to point of view to follow many strands of the story in parallel. (I always find narratives that switch from first person to third person in order to get around this jarring, and I'm not ready to go there yet.)
But it is also liberating. Since you are no longer an omniscient narrator, you no longer have to be omniscient. Gaps in the narrator's knowledge can be part of the characterization. If he (I'm also not ready to write in first person for a female character) doesn't know where he is, you don't have to tell people precisely where he is.
Of course there is a certain amount of illusion there. My character may not know, for instance, that the thingadingy you tie a boat to on a dock is a cleat. For him it may just be a thingadingy, but the reader is likely to draw the line there.
As a freelancer, I've dabbled in ghost writing, where you take someone else's persona and try to write in their voice. Writing in first person is like that -- ghost writing a story for your fictional character.