Really hard, since nobody is hiring these days. Also, there are so many furloughed pilots, that the competition is stiff. However, if you start training now for a job in say, ten years or so, it may get better by then. I believe the hardest part is getting your first thousand hours, and getting enough multi engine time. They are both very expensive, and having someone else pay for them is not easy. I did it by flying skydivers, towing banners and by doing multi engine instruction. Those are three of the most dangerous things you can do in an aircraft, by the way.
Another difficulty is finding the money for flight training. And, passing the simulator test for upgrade to captain is quite a challenge as well. Good luck and fly safe.
Finding a good job and keeping it (the latter part you have little control over).
Seriously, that's it. Actually acquiring the education and pilot certificates is not necessarily hard. I think most people are capable of it. The problem is that, like many industries, it is heavily driven by who you know and not what you know.
Finding a job after all your training. You have to compete with retired military pilots that have you beat on experience.