IR is the hardest, mainly due to the pressure you put yourself under to pass first time, both from a cost point of view and the desire to avoid having to own up to partial passes in job applications. Technically it is probably easier than the CPL skills test, especially as you generally have a reasonable chunk of extra time in the air by then.
MCC is generally a very pleasant and enjoyable part of the process. As MJ points out, it is nice to share the work at last, but it is also fun to be in a (most likely) jet sim and you know that the worst part of the licencing process is behind you. Relax time.
ATPL theory isn't massively difficult to understand on the whole, but there is simply a huge volume of info to absosrb in a short time, and the JAA have a nasty habit of phrasing questions in the most obscure way.
However, all of this is a walk in the park comapared to landing a F/O position straight out of school, unless you are extremely jammy, or have pictures of the chief pilot enjoying the pleasures of four legged animals.
