All that running around saving kids and stuff can make for a stressful job. Worrying about being discovered by someone you're tailing will get your heart rate going. Running into a cheating boyfriend or an embezzling banker can lead to a lot of shouting. Even just the stress of making ends meet when you're self-employed...these can all take a toll on you.
On the other hand, it can be a really boring job. Private detectives spend a lot of time making phone calls, interviewing clients, getting disconnected, conducting computer searches, promoting and marketing, and doing the kind of research that involves a lot of circling newspaper articles.
Then there are those gents and dames who walk through the door one cold and rainy night. Your clients may not be the most stable people on the planet—for starters, they're walking in the rain at night. That's not a good sign.
Private detectives who work for corporations or government agencies have the benefit of keeping a professional atmosphere when handling cases. It's important for private detectives to separate their work from their personal life. Going home with the stress of looking for missing children every day can lead to some serious night sweats.