I think this is too general of a question. The challenges each person faces immigrating to Canada tends to be very personal to their own situation and experience. If you want more specific answers and help, you should post your own situation and say what you are having trouble with and hopefully people on this forum can help you prepare a better application, but asking for ALL challenges that people face when trying to immigrate would just take up too much time to list.
Have you done any initial research online on your own to see what you need to immigrate successfully?