There will always be a frontier at the edge of human understanding. To scientists, this is a shining opportunity to explore the unknown. The biggest challenge, I think, is that the further we get from what we understand, the more difficult it is to form and test disprovable hypotheses.
Another challenge is our brains themselves. We all carry cognitive biases - both innate and learned. We jump to conclusions. We see patterns everywhere, but not all of them are real or meaningful. We constantly confuse correlation and causation. We need to understand our limitations and strive to transcend them if we want to continue to grow.