The list of areas that you can research is endless, as you have pointed out Warren. I think the first big challenge is to work out what it is that you
should research.
I think Leela is bang on the money. Strategy is key.
Here are a few of the things that I think are important, and challenging.
Who are your current customers? Create a profile.
Why do they buy your product? Create your sales pitch.
Where in cyber space can you find more of them? This is another of the big challenges. Search engines are one source, but there are communities on the internet for just about every imaginable demographic. How to find the most cost effective strategy?
SEO might not be the best option. Pay Par click Adwords is moving into the "silly money" end of town for some industries. Need alternatives.
How can you get the message across? What is the best tactic to attract the all important "click"? More clever copy writing, a competition, a free give away, buy one get one free???
How do you close the sale when they hit the site? Creating the landing pages, make the payment gateway look professional, what information will they want to read when they arrive...?
I think the first big challenge for a small business is to create a comprehensive plan for the website including marketing strategy (online and off). It's boring, but once that's done then everything else will start to fall into place.