And now on to novels:
I've been told that most novelists end up deleting the first two or three chapters to make them publishable. Their first few chapters contain the dreaded backstory. Backstory can derail your story before it even gets started. Often it's not necessary to the novel -- hence the need to chop it off.
Conversely, I've had the opposite problem. I tend to start a novel and gallop off into the story, and then I have to go back and write the first chapter or two. The reason why is because I'm expecting my readers to care about the character in my novel enough to hang in there until the end of the book, but I haven't given them a reason to care or understand who my character is. I tend to jump into the inciting incident without laying enough groundwork.
Jeff Gerke in his book Plot versus Character says you need to establish normal before you violate normal: It's important to show what a character's life is like before the main story intrudes. Otherwise, we simply can't tell (and don't care) that her life, which we haven't seen, has been turned upside down.
What's your biggest challenge when starting a new story?