Both the Chandra X-ray Observatory and the XMM-Newton Observatory have powerful analysis and data reduction software packages (CIAO and SAS respectively). They come with good documentation (CIAO docs, SAS docs) and a variety of helpful tutorials, a.k.a. analysis "threads" (CIAO threads, SAS threads).
Nevertheless there are a variety of limitations that I have tried to (however incompletely) document in the pages linked to below, as they do not appear to exist elsewhere on the web.
Note: The pages linked to above pages are highly selective and incomplete, and relate heavily to data analysis of faint extended X-ray sources. If soething isn't mentioned here it probably already documented in the threads, or on the official Chandra and XMM help systems and/or bug pages, on some one elses web pages, or might not event be a problem for a slightly different mix of versions of CIAO and/or SAS.