I'm still in the process of writing my Master thesis, but for me the major challenge is to see the bigger picture; the end product of what I want to write, whilst breaking it down into smaller chunks which are manageable and less daunting. I had no problem with this when writing shorter essays, but the size of a thesis is quite scary for the inexperienced. I guess the 'daunting' aspect stems from wanting to produce a piece of work that is to a professional standard and relevant so that it can add to the body of literature already available of my subject.
I am a native speaker of English and an experienced writer, so the mechanics of the writing were not a problem for me, other than that I had never written anything that long before.
My biggest challenge was selecting a topic and identifying a data collection methodology.