For me personally, and for many of the freelancers I've talked to, the hardest part of making a living is balancing the marketing/networking and the actual work. When I'm in the midst of a big project, it's hard to justify spending time searching for new projects or writing query letters when there's a paid assignment on the table. We remind ourselves that "someday this project will end" and we know that we should be marketing ourselves constantly, but many of us don't.
I'm not a procrastinator by nature (quite the opposite), so when I get an assignment, my first inclination is to start gathering sources and dive right in. But if it's not a last-minute assignment, I try to keep querying and get more ideas circulating before I start on an article. If that doesn't work, then I can also contact clients I've worked with in the past, which is often quicker than prospecting for new ones. Still, it's a tough balance because both finding the work and doing the work.
What do you find most challenging about being a freelancer?