No, there is no download for LMS 3.0. It is quite large (ships on a DVD now).
As for caveats, the only ones I have are for Windows. Prior to performing the upgrade, backup your data, set the global and per-user TEMP and TMP environment variables to short values (e.g. C:\WINDOWS\TEMP), disable all AV software, then reboot. Do the installation as a local Administrator on the console (running Remote Desktop in console mode is fine) from local media (you may need to get a removable DVD drive).