Does there exists (as scheme, or as some sort of stack) the moduli space of principally polarized Abelian Varieties together with a point of order $N$, for $N>1$ an integer? 


In the case of dimension 1, it is the well known modular curve $X\_1(N)$; but for abelian varieties I have seen essentially only the corresponding to the full modular curve $X(N)$ in dimension 1. Are there some obstructions (bad behaved schemes, bad compactifications, or any other reasons) for considering these moduli spaces? 



Moduli Space of Abelian Varieties with a N-torsion point
No, there are no problems. The stack of principally polarized abelian varieties $\mathcal A\_g$ has a universal family $\mathcal X\_g \to \mathcal A\_g$, which is a relative group scheme. As such, it has an endomorphism $\mathcal X\_g \to \mathcal X\_g$ representing multiplication by $N$, which is finite and flat. Its kernel is the stack you want; the map to $\mathcal A\_g$ is finite and flat. In characteristic prime to $N$, it is also étale.


[Edit] I was too hasty. As Kevin points out, one should take points of order $N$ in the kernel. This is an open and closed substack when $N$ is invertible. Over $\mathbb Z$, the kernel will have several irreducible components that will meet over primes dividing $N$, and it is not so clear to me how to distinguish them. For example, suppose that $N = p$, where $p$ is a prime; then all the components of the kernel will intersect over the locus of abelian varieties with $p$-rank $0$. It is not clear to me how to give a modular interpretation of the closure of the locus of points of order $N$ over $\mathbb Z[1/N]$.


