I ran into problems very quickly - when I tried to write the first unit test for the first action in fact! PHPUnit was just dying when I asked it to dispatch() any URL which didn't return HTML, it wasn't even giving its usual output. What was actually happening was I was making use of Zend_Controller_Action_Helper_Json, my service returns JSON and this action helper takes input, transforms it into JSON, sets the content-type correctly and tells ZF not to look for a view since we don't need one. I thought this was pretty neat.
As it turns out, there was an exit being called in the Zend_Controller_Action_Helper_Json component that was causing the request to stop at a certain point. The solution? Chaning the value of the supressExit class variable to stop the behavior.