One of the biggest challenges now-days is getting local and government resource consent and eventual approval to actually build one. Its not just coal plants either, our new hydro projects down here didn't go thru due to environmental issues caused by the proposed dam reservoir (stream erosion, fresh water discharge, etc).
It's not just the power plant either, its also getting approval for the additional infrastructure needed to get the power to the people. Trying to string new lines of HV cable and power pylons (the big ones) is a nightmare also because they have to be placed on and run thru so many peoples properties.