Learning to indentify problem coins. Not only the hardest, but it is the skill that a collector needs the most.
Patience, patience, patience. Waiting on the right coin, not jumping prematurely. I still have much to learn, but the above is my biggest challenge.
Most have been mentioned such as patience, Au/Ms, counterfeits, alterations, etc. But one I think is still available that I am finally learning to conquer relating to grading is "Love at First Bite". Putting aspects to a coin with love in your eyes. Love will up the grade on the coin, turn AT into NT, make it a rare variety, and worth much more than you paid for it. This leads to many Coin Divorces, with you replacing her after discovering her faults that were visible to others and you denying it over and over. Inspect and buy a coin with "cold eyes" looking for any and every fault. You can fall in love with it in due time. Your collection and finances will be much better for it. Jim
I don't know if this counts as a "skill" or not, but my answer is "patience". Having patience can result in many good things happening. And perhaps even more importantly, it can also help a collector avoid a lot of bad results.
Accurately grading by EAC standards at VF30 and above. I still don't have it down after something like 4 years.