The goal of most of the models that we will be dealing with are understanding and communication. It is important to remember that models are not meant to be 100 percent accurate representations of reality. They only need to include the key concepts that are being analyzed and communicated.
It is because of these abstractions and other limitations that led George Box to say that "essentially, all models are wrong, but some are useful." The goal of a successful modeling exercise is a clear and concise set of models that are useful within the context of the problem.
Complexity can be the biggest challenge. If you don't sufficiently understand the goal of the modeling exercise and the problem space being analyzed and modeled then you won't know what the key concepts are and what should be ignored.
I will finish this with the following warning from George Box. "Since all models are wrong the scientist cannot obtain a "correct" one by excessive elaboration. On the contrary following William of Occam he should seek an economical description of natural phenomena. Just as the ability to devise simple but evocative models is the signature of the great scientist so overelaboration and overparameterization is often the mark of mediocrity."