It depends on your background and attitude whether Finnish is a difficult language. Generally, a person who speaks e.g. English, French, Spanish, or German as his native language will learn any of the other languages more easily than Finnish. The reason is that Finnish belongs to an entirely different group of languages and has both a different structure and its own vocabulary, where you won’t see many words you know from other languages.
Finnish is a strongly suffix-oriented language. To English-speaking people, for example, this poses both a conceptual difficulty and a practical challenge. First, you need to get acquainted with the princples of using suffixes. Second, you need to learn the actual suffixes and their use, which is comparable to learning a large number of prepositions.
The difficulties are often exaggerated, however. Although a Finnish word can have dozens of inclined forms, many forms are rather rare. For example, Finnish is conventionally described as having 14 or 15 cases for nouns, but 2 cases (nominative and genitive) cover well over 60% of occurrences. A word can have a large number of different suffixes, with no theoretical upper bound, but difficult clusters of suffixes are rare.
The pronunciation is rather regular, with some exceptions like doubling of consonants at word boundaries under certain conditions. Some sounds or combinations of sounds can be difficult to learn; e.g. “ö” and “y” and syllable-final “h” (which do not exist in English).
Learning a Finnish word usually means that you also need to learn something about its inflection, such as a few thematic forms. Learning that “elk” is hirvi in Finnish is not sufficient for using the word properly; you also need to know whether its genitive is hirven or hirvin (it’s the former) so that you can form its different case forms. On the hand, you do not need to learn the grammatical gender (there is none), and you do not need to learn the written and spoken form of a word separately.