A lot of challenges, but the one I thought about first when I read this question was "leaving people".
I left home at 18 to join the military, and lived hundreds of miles away from family and my old friends for six years while I got my initial education and my first few years of work experience under my belt.
While I was in the military I moved 3 times, each time there were friends and girlfriends that I left behind. Girlfriends were probably the hardest, but at least I could say "It's not my fault, the military is making me do it".
When I got out of the military I was in Virginia and I was in a serious relationship with a woman who was also in the military. I had gotten a job offer for really good money in New York. She wanted me to pass on the job and stay in Virginia until she got out, and then we could job hunt together. Nope. We broke up and I left to New York.
After a year at that job in New York I got offered my first six figure job, hours away again and in the middle of nowhere. I moved again, left people behind again. I lived on a dirt road with no cell service for years. I worked weekends and holidays when I needed to, and I was still hours away from home so I was seeing my family maybe a couple of times a year.
I left that job for another big raise, and moved again. Nowadays I live about an hour and a half away from my parents, which is really good. I see them quite a few times in a year, but I still work a lot of holidays and now I also own a side business that has been tying up my weekends a lot of the time.
My wife has the same type of experience but much much worse; she is actually from China and all of her family is still there. She is homesick all the time.
We both wanted financial success, though, and we did get it. Overall I think it is worth it for me, and I hope that it's worth it for her.