For me it's been overcoming the epic adversities that the game throws at you especially when you have never seen them before. i.e. the different raider behaviors like the sapper that did me in or the weather events that make food management so tough (hydroponics is a huge help there). I just had a volcanic winter blot out my entire growing season. Even when you know the dangers sometimes bad luck, bad choices still dooms you. I always play permadeath. Only forced quit once to avoid a" friendly fire grenade in a hallway" result because the game really needs a HOLD FIRE button in combat.
Definitely slow the game down at parts and check in on your pawns especially the social tab and the health tab. For example Snake was supposed to be the colony leader but now everybody hates him. -50 hate levels. Even Pearl broke up with him. I think it might be because he lost his nose in a fire fight. He also had a marriage proposal rebuffed which was probably due to the missing nose.
It's also fun to set some skill goals and try and micro their skill levels. One great skinner boxian design choice is to have skills over 10 start slowly deteriorating. I'm always looking for opportunities to train some of the tougher skills to bump up. In my current game (my longest yet) I regularly take my best shooters out for training as a group. I call them the hit squad. 15, 14, 14.
My favorite moment so far was when my last colony was over run by raiders and I watch them swoop in and carry off my last two colonist into slavery. Guess they were probably thankful for not bleading out. Who knows maybe they escaped and I'll see them again. :)