Isolation: It's hard not being around others from a social perspective. When you have no coworkers to vent to, celebrate with, or collaborate with, you get higher highs and lower lows since everything is internal.

Accountability: You're the boss and the employee, it can be really difficult to force your 'boss' self to do things your 'employee' self doesn't want to do (eg support, sales, refactoring, etc)

Sales: This has already been mentioned, but the hardest part for me is that you need to be pretty passionate about it to be successful.

Problem Solving: Sometimes you just cant "get" something, and talking through the problem aloud to someone can give you new ideas/solutions you hadn't even considered. You don't know what you don't know.