I think that the most challenging part is coming up with a real good email format that people like and will respond to highly.
After you have sent out your emails for a particular campaign and it didn't work as well as you would have liked you must then analyze the email and find out what went wrong and why it didn't work. This isn't always easy as some that you think will work well won't and others that you think won't provide good results do.
I think coming up with a perfect email each and every time is a big challenge and figuring it out can sometimes be a pain.