In general...
The engineering part is the "easiest" challenge. All the technologies are available since the Internet boom. Please don't make it sound like they are more challenging/difficult than it really is. Most of the effort would be system integration.
More difficult is the operation (customer support, technical support, security incidents, regular maintenance, moderation) because it's a never ending chain of tragedy. This is where the current Sony Connect starts to show its weaknesses based on another post on B3D. It's more than server machines humming in the backroom. Sometimes when products have low margins, staffers become less "on-the-ball" (It's just 1 song, what's the big deal). Hopefully with elevated corporate profile, more passionate operators are in place. Having the right people here will show in terms of quality of service.
Next up the difficulty level is UI. It's not difficult to build an "ok" UI, but it _is_ difficult to build a simple, consistent, intuitive and extensible UI given complex needs and lack of time. Most of the sites today are very cluttered, including most of Sony's. Cross Media Bar is an ok UI in my opinion. As I last heard, they are extending it for PS3.
Then comes the community. In this department Sony should have significantly less problems. Xbox Live started from ground zero, that's why community build up is a real challenge. The Playstation brand has existed for 10 years. If Sony builds it, millions of fans _will_ come. The problem is more with moderation, generally done with the help of the user community itself.
The most difficult is the business model. And I believe this is the reason delaying/limiting/stopping Sony's effort to date. It could not find a sustaining business model to run all the above. I am glad that Sony takes the time to think through. If the PSM article is correct, it seems that they have figured out their numbers and are on the move.
So yes running an online service like XBL is not easy, but unlike XBL Sony is not starting from ground zero, and in my mind, Sony seems to have gotten over the most difficult parts. The rest requires dedicated execution like any other good businesses.