What is the biggest challenge you've faced while implementing Single Sign-On (SSO)?

I'm currently learning more about Single Sign-On (SSO) and how it improves authentication across multiple applications. While the concept seems straightforward, I noticed that implementing SSO can become challenging depending on the technology stack and identity provider.

I'm curious about your experiences:

Which SSO protocol do you prefer (SAML, OAuth 2.0, or OpenID Connect)?
What were the biggest issues you faced during implementation?
Did you encounter problems with user provisioning, session management, or security?
Any tips or best practices for someone who is just getting started?

I also came across a guide that explains the basics of SSO in a simple way, and I found it useful while learning online.