Lack of a boss. Period. The lack of a higher authority to give you your next todo item is the single most-important factor that makes entrepreneurship so hard. In school, you have a clearly defined schedule and you have teachers who give you homework which provides something concrete to do everyday. Then they have exams, a definite end point of the whole yearly effort. In college, you have required classes, projects and exams that keep you sane and provide a safety net from being direction less.
In corporate world, your boss sets your todo list. Most likely, every day when arrive at your desk and check your email you have something definite to do, failure of which is likely to annoy your boss. Day after day, the todo list keeps you busy, happy and gives a clear indication of progress.
But entrepreneurship is different. You have NO boss. Nobody would care if you are slacking a bit, nobody would care if you failed to meet your targets, no body would care if your performance is falling month after month. Being self-motivated over a period of years non-stop is hard. Unlike corporate world, you have to set your own agenda for every single day and you have to meet self-defined targets. What makes it even more dangerous that there is no-one (expect you) to notice that you failed to meet targets. There is no-one to do a review meeting or feedback session. It is just you!
That is what makes entrepreneurship so hard.