I think the main difficulty is just that they are sooooooo long, and usually done single-segment (every game except TWW, I think. MM is segmented now, but TSA plans to change that). Also, there are some pretty tricky things you have to master and you have to do a whole ton of memorization. I have never done one, though, and I am sure TSA could provide examples of stuff, but he comes here, like... never.
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