A common mistake most first-time entrepreneurs make (me included) is trying to get all the 'bells and whistles' in place before going live. This becomes more challenging as you speak to more people and validate the business model further. Eventually, it might help to come up with a list of 'must-have' features for your 1.0 launch version, set a launch date and try to be as disciplined as possible to not add any new features (unless it is going to be a show stopper).
For the software field:
I would say the most challenging thing in the beginning is after a couple of months when things gets hard, doesn't work and all the initial fire is gone and you don't have any investor backing you up. Then you see who is going to be on the team and keep pushing till make it works.
Well, that depends on your industry. To give any kind of help, you need to provide some more information.
Read The Lean Startup and you will see the simpler it is the better for a number of reasons :D