I'm finding the hardest part of writing for me is character building. It was recently pointed out to me in a helpful critique of the first story I wrote that my main character had the substance of a soap bubble. It's a long, hard journey from bubble to a strong, deep character.
I think my problem starts with my writing background. For the past ten years, I've been writing fanfiction. That's a great medium to build general writing skills, but the characters and the world are already established. I don't have to bother with giving much depth to, say, Buffy Summers because my readers already know her inside and out.
For the story I'm flirting with right now, I'm trying something new. Before I even wrote one word, I sketched out some details of the lives of both of my main characters. Some of it is important to the story, such as their professions and religious leanings. Some isn't -- one character has a few trophies from fishing tournaments on his bookshelf. I'm viewing this story as an exercise in character building more than anything else, and I hope it's turns out to be valuable in my development as a writer.