Having a self-sustaining living space is by far the biggest problem (one where all of the waste we produce can be reused to create new drinkable water, air and food, and to reliably continue to do so between Mars launch windows).
The second biggest is probably avoiding contamination of Mars, if we actually care about exploring one of the biggest mysteries of life - has it arisen only on Earth? Are there other modes of life possible, and what do they look like?
The third biggest challenge is human psychology and physiology - could we actually get a group of ~100 people or however many we need initially to live and be productive for the years-long space mission (including travel time to and from)? What do we do when at least one of them inevitably gets sick on Mars?
Each of these problems is fractally more complex than I make it out to be, and none of them would be fixable if rockets were very cheap. And these are just problems for a limited time Martian outpost, similar to a trip to the ISS. Thinking about an actual colony with some prospect of perpetual habitation being in orders of magnitude more issues, some of which may not even be solvable without biologically altering humans to make a new Mars-adapted species of hominid.