Mechanical room (HVAC, hot water heater, etc) on the roof?

Anyone out there have their mechanical room (for furnace, boiler, hot water heater, HVAC–whatever system/combo you use) up on the roof? I saw a house in Park Slope, an old carriage house that had a fancy, modern reno years ago, that looks like they moved their mechanicals up top. They built a little room/structure up there to house it, looks like.

I’m interested in hearing from anyone with experience with this. Issues involved? Legality? Permits? Cost? What kind of professionals needed? Specific contractors/professionals you used? If we have to do an overhaul of our HVAC system anyway, I’d like to consider this possibility, which would open up a whole extra room in the house.

Thanks!