It's hard to pin down my biggest challenge. I think because they hit in different ways.
In thought before becoming Orthodox, it was the very idea of a Nativity fast (I've got to GIVE UP the season of treats and parties before Christmas?!?!?) ... though the last time I happened to actually attend a Christmas party was maybe about 8 years prior? But we USED to go to parties, have cookie exchanges, etc.
Theologically is was a toss-up between veneration of icons/Saints and veneration of the Theotokos. Which should have been the same thing, but understanding for the Saints came easily and early, while the Theotokos specifically was a huge struggle. Anti-Rome bias drilled into me.
In actual practice early on maybe the not being able to drink water when I woke up during Saturday night. Funny - I have to remember to drink and can easily often go 14 hours or more without drinking water and never realize it or miss it, but tell me I CAN'T and suddenly I'm dying lol. I have to take medicine every morning with a full glass of water at least, so that fast has gone by the wayside.
I miss fasting of all kinds, because everything is so prescribed for me now.
So most recently - being told to chant in front of the Church when I planned only to read and didn't know how. I would have DIED before doing it before. But I think maybe ... Orthodoxy has done just a little work on my pride. Funny, but it actually didn't affect me inside as much as I thought, and I'm still concerned to do a decent job but ... if you'd have told me a few years ago that I would stand in front of a congregation and use my voice in singing a thing I didn't know the expected melody for ... well you might as well tell me I would climb the Empire State Building on the outside with no safety gear - and I'm afraid of heights.