Without a doubt, the hardest part for me was the loss of a player or major character in the story. When we lost a player unexpectedly that had been at the core of everything we were doing, the entire game took a severe hit. This occurred three times over a few months, and each time it seemed toe drain the color of the world. Nevertheless, this was part of a learning experience, and the problems of NPC-triangles collapsing, major groups falling into obscurity, and dispersed characters are things that can be mitigated through game world design to some extent.
I personally have never had trouble with universally epic endings, but most of my games last 1-3 years, so I have a lot of time to think about them.