I agree that the biggest challenge is having the persistence to keep going. Yes, there is a lot of money involved, too, but to me, it was making myself get into a 172 or a PA-28 yet again and again when in my mind I should have long ago been flying a 777 was the hardest thing.
My take on this is as follows:
If you truly know in your heart that you should be a pilot, then you have to go do it. Have to. Because if you don't, you'll be miserable doing whatever else you'll be doing, and then you'll die wondering.
If, however, you're looking at this for ANY reason OTHER THAN you know in your heart you should be flying, then go do something else.