I used to live in Albania several year ago and have been around the Balkans on holidays since. Great place of the world to see. I hope to go back on my bike someday.
I'm sure things have changes in recent years but when I was living there normally there were no major problems at borders, just had to sit around and wait a lot.... Any problems were able to be sorted, normally by some stranger at the border (I think its what they did to pass the time). Like I said I'm sure its much easier and quicker now. When I have been back on holidays its always been by train or plane and it has been like going into any other country.
Another point is not to leave you bike anywhere without security or with anything left on it, but that goes for any country these days. Again several years ago now but cars being broken into were quite normal when I was there.