Coming to college is a rough transition. But I'll tell you what is an even harder transition; moving from the dorms to a house or an apartment. Just the fact alone that I have my own room to myself is a transition. Let me list some of the major differences- I have a living room that only myself and my roommates have access to, I can have what ever size bed I want (which for me, I had a twin XL in the dorms and now I have a king size bed), nobody will confiscate your candles, there is no more meal plan, you have to start actually grocery shopping, nothing is really a flat rate (like utilities or rent, in the dorms you just pay it all with your tuition), and so many other various things.
I have to say, becoming an adult is a very difficult situation. Technically, you become an adult at the age of 18, but depending on the way you were raised or brought up, chances are you might not really be adulting until you move into your own place. Moving from your childhood home to the dorms is a steep transition, but it's nothing compared to if you were going to move into your own place. You have to have a job so you can cover all your expenses. Learning to pay bills is not really something they teach you in high school. Sure, I had a phone bill to pay before but I never had to call the company or take a check to a utility complex or anything of the sorts.
Learning to grocery shop is like a whole different species. I wasn't raised to cook for my family so I really didn't have any realization of ingredients. So chances are the first time you grocery shop you will end up with frozen pizzas and chicken nuggets. I am slowly, but surely, learning how to actually cook and make healthy meals for myself, because lets face it, mom isn't going to be here to do it for us anymore.
Another big transition is having a vehicle on campus (whether you chose to do so or not is completely up to you and your land lord), it is definitely different being able to go to the fast food restaurants that aren't quite on campus, or the grocery store without having to beg your friends for a ride or taking the bus.
Lastly, you finally have your own space, it's yours for the taking. Don't take it for granted because you'll never get your first college house experience ever again.