It's hard and not always very gratifying work, which means you either have to pay someone to do it (as YC does with HN) or rely on volunteers who will extract other compensation from the system.
Then there are many psychological costs. I'll list three. Often the people whose comments are being moderated do not feel that their comments are bad. They can become harsh, which can push your buttons. With the law of large numbers, any button you have will eventually get pushed sometimes, and when that happens it doesn't feel like a mere statistical process that's afflicting you. It feels more like an evil genius or demon that has perfect knowledge of how to drive you crazy. So you literally can feel driven crazy every day. (Edit: more on 'demons' here: https://hn.algolia.com/?dateRange=all&page=0&prefix=false&so....)
Second, an even harder problem is that people want explanations for why their comments are being moderated. It's hard to provide precise explanations in every case. When you get it right, it's helpful—at least to the general audience, and often to the commenter too—but it takes a ton of energy to get right because there is endless variation and nuance in these things, and the cost of being even a little wrong is high: it causes hurt feelings and a general sense of injustice. On the other hand, if you don't provide explanations, people feel that you're being arrogant and heavy-handed.
Third, every mistake you make will be jumped on by lots of people. Their intentions are largely benign, but it's hard to remember that when your mistake is being jumped on. I could continue!
There are different strategies you can take to this, but they all involve tradeoffs. When PG was moderating HN he relied on software to do as much as possible and did the human part with a minimum of (i.e. usually no) explanation. That led to complaints about lack of transparency and so on, but given that he was both building YC and raising small children at the time, there wasn't an alternative. By the time he handed HN over, the community had reached the point of needing a different approach. But no matter what approach one takes, there are these sorts of costs. I think the trick for keeping going is to design the system to have rewards as well as costs, but that's a different conversation.
(Edit from when I ran across this years later: from a 2020 perspective I would say that of the three psychological costs, #2 is the hardest because it consumes by far the most energy. #1 and #3 can be worked on internally, but #2 requires a lot of careful external communication, often under high-pressure conditions. I'm still thinking about what can alleviate that load. It's a bit of a double bind, because if you answer every objection and protest, it's draining—actually it's physically impossible—but if you don't answer, then people will imagine their own answer, invariably a hurtful one, and go away firmly believing it and feeling aggrieved, which is a bad outcome in its own right and often comes back to bite you later.)