The EU is a huge amount over the top of a customs union.
The biggest is obviously the complete lack of borders. Whilst I believe immigration is a good thing and that anyone should be free to work wherever they like, I don't think they should be able to move unchecked.
I also don't believe that the tax payer should shoulder the cost of any provision for those who have yet to pay in a significant proportion. I'm not an actuary and I have no plans to become one so I'd have to take advice, but a best guess would be something like 5 years of average salary payments or above. A far better solution would be that all healthcare and out of work costs are covered by the person's country of origin under that country's own rules. In work benefits would be provided by the country of residence but capped at the country of origin's rates.
Worst of all are the non product related regulations that have nothing to do with trade and everything to do with socialism. The Working Time Directive, Solvent Emissions Directive, etc - these are huge costs to businesses that have nothing to do with trade and everything to do with protectionism.