Is it normal that I have the hardest time when I'm trying to prove statements that are blatantly obvious on a visual and/or intuitive level?
For instance, how does one go about formally proving the following statement?
Given a set $P$ of points on the real plane that are not all collinear, prove that there is a subset of $P$ that corresponds to the convex hull of $P$. Furthermore, that this polygon is unique (up to collinear points).
An intuitive 'proof' would be "Stretch a rubber band such that it contains all the points, and release it." This, at least to me, makes it obvious that the above statement is true, but of course it's not very rigorous.
Yes, this is quite common.
The Jordan curve theorem is a classic example of a geometrically obvious theorem that is true, but quite hard to prove.
The idea that there do not exist space-filling curves is a classic example of a geometrically obvious "theorem" that is in fact false.
Now, you also asked a specific question, namely:
This is result is quite easy to prove, but only if you know the "trick" (otherwise, you'll have no idea how to even get started). Anyway, to see that every set $P \subseteq \mathbb{R}^2$ has a convex hull: