My daughter was a 35 (almost 36) weeker. She was a big baby, 3.5kg & didn't have any breathing problems (I didn't get the steroid shots) but she was absolutely smothered in vernix, had very fragile skin, was jaundiced & required a week of phototherapy, anaemic (we avoided a transfusion but she needed folate/B12 supplements for 6 months), very sleepy & difficult to feed (initially tube fed).
Now at seven she's perfect - tall, strong & bright - she hit all her motor developments ahead of target but her speech was a little delayed, she'd caught up by three though.
Good luck - IME the extra few weeks between 36 and 40 weeks make a big difference, I didn't realise how easy 'normal' babies were until my son was born ;)