I have an M.E. degree from Purdue ('06). When people say you need to be good at math, it is not a joke. You know how all through life, you take math classes, and everyone (including parents) says "this is stupid, I'll never use this again ever?" Well, that couldn't be more false in this case. I spent my first two years taking math classes (three calc classes, two differential equations, probably one or two more I don't remember). Then, you spend two more years solving the world's problems with diff eq, haha. Seriously, you basically learn how to take any mechanical/thermal/etc system, and model it/solve it (making assumptions) using differential equations.
The other hard part about engineering, compared to any other major, is that NOTHING is plug and play. If you take an econ class, or a stat class, or something similar, they give you all your equations, and you just figure out which one to use, and what goes where. With most questions in an engineering class, they give you the basic theories and equations, and you have to figure out how to apply them. You could use the same equation 10 different times in 10 different ways. It's kind of hard to explain exactly what I mean with this, but believe me when I say it is probably a totally different type of thinking than any other class you have taken.
With that said, if you can get through it, do it. Any college degree is priceless, and I think the problem solving skills you learn in engineering are far and above any other discipline. Throw an MBA on top of that engineering degree, and you are a baller management candidate, since you have a technical background. Anyway, just my $.02. I'll stop my rambling now...