The balance between the time I dedicate to my start up and my family, biggest challenge by any means!
I quit my regular job and started my new business without a specific product idea in mind.
I was really surprised how much of your self-worth is tied up in your job - for several weeks I was pretty down, mostly I think as a result of the loss of purpose and identity that one derives from having a regular job.
Two months in, I have a project that I'm focused on and can envisage being successful, but while the black cloud was overhead, it really sapped my energy and ability to focus.
In terms of strategies for dealing with it -
When I first started my latest venture with a friend over a year ago I was surprised at how many distractions and other project and product ideas I had. I am also embarrassed at how much time I put into some of those smaller ideas.
I suppose the little ones are a lot less intimidating and simpler to consider and execute.
That has to be the most shocking part of the journey so far. Mostly it is a disappointment in myself.
Besides the family/work balance thatw as managed before, I guess the second biggest challenge was "Doing more with less".
When I graduated and started my first job for a big multinational, I was give a $1M budget for my project... it was huge pack of money, that I could manage the way I wanted. And if I needed more money, I just had to justify it well, and some more cash would come my way.
When I started working for a Startup, I had a very limited budget and was asked to do big things: generate a lot of awareness, get hundreds of leads, build a vast community of users...
What I learned was that you CAN do great things with limited budgets. It taught me to use budget wisely, focusing on high return activities and coming up with creative things to do more with less.
Making sure to keep thinking about the big picture, thinking at a strategic level, thinking about plan a, plan b, plan c. And how we're going to get there. It's unlikely that plan a is going to stay exactly intact. Success is about figuring out what to change and when while continuing to do the day to day tasks that have to get done.
In big established Fortune 500 companies you see the limiting factor of getting things done is the people, process and/or organization around you even though there are plenty of resources around to make it seem like it should be easy to get things done. ie: Staffing and funding are not the concern.
Conversely, once you start your own business those process and organization problems are gone, but then immediately it is the lack of resources that become the limiting factor. Of course, going into it the resources you need to do the primary business are very foreseeable, but the surprises lay in all the things that happened "automatically" and sort of behind the scenes in the Fortune 500:
In effect, it is all the unplanned activities and the time that those can consume that is the biggest surprise.