For me the first difficult part was understanding all the components I needed ... i.e., protein skimmer, filters, live rock, circulation, etc. How it all went together and interacted to create a stable system. It took a little while (and some trial and error) to figure it all out.
Second, was the balance of water chemistry. I got the ammonia, nitrite, nitrate, PH, SG ... the very basics, pretty quick but understanding the others didn't come right away. Like Alk, Magnesium, Calcium, iodine, etc. That too came with time and I'm still learning more every day.
We also read and write a lot about 'going slow' and quarantine and so forth. This was probably the hardest part because we're all so enthusiastic and excited about the hobby that it's really hard to refrain from getting "just one more" or succumbing to the "but it's so pretty" syndrome. I made mistakes in that area just like most everyone else.
One of the most important things I learned was that the QT should be as close as possible to the DT, i.e., same water chemistry, having a smaller replicate of the DT (I actually used the plastic rocks so it "looked" more realistic, which I think calmed the fish faster). Plus leaving fish in QT for as long as it takes to 1. get them eating and fatten them up and 2. make sure they have no parasites. I used to leave them in QT for only a couple of weeks. The last time I got fish I left them in probably 8 weeks! BUT, all the fish that survived QT are still happy and healthy in the DT.