I can think of two main challenges:
1. Technical: The field of data science is wide, deep and constantly changing. To be effective you'll need to build knowledge and skills in statistics, programming and data management among others. You'll find that there's always new modeling techniques being developed and new tools and frameworks that you can use, so you'll have to be constantly learning.
2. Storytelling: In general communication skills are crucial to any job. But in particular for data science you need to develop the ability to tell a story through the data. Lots of people can generate all sorts of statistics and charts, but being able to communicate insights and influence decisions is how you really deliver value. Like Toyin mentioned, this is also how you stand out.
But these challenges are also what make this field exciting and rewarding! You'll never be bored and there will always be room to grow.
Hope this helps!