Everyone is different mate, so there is no real definitive list. I have seen very academic people breeze through their ATPL ground school, but struggle with the flying through lack of natural flare, no pun intended.
From my own experience, I think each stage of the process brings its own set of challenges. To begin with the PPL can be hard work, as there is so much to learn, alot going on all at once, and due to your lack of experience, your capacity is limited. However, as time goes on, like anything else, with practice it becomes second nature and your capacity levels increase and it becomes easier.
The ATPL ground school is not rocket science, but there is a lot of it, so it really is a question of managing your time to digest all the information. A good grounding when you do your PPL ground studies will put you in good position for the ATPL's. Also putting your piss ups, girlfriend/boyfriend and general life on hold for 6 months will put you in a good position to pass all the exams first time.
If you have the discipline when you hour build to set yourself goals and practice all you PPL flight profiles, the CPL course will flow nicely, and it should not present you too much difficulty.
The IR at the beginning can be daunting, or it was for me anyway. You are flying a twin, flying alot faster than you are used to, and to begin with you will find yourself behind the aeroplane. However, on saying that, you will be given the tools in order to cope with this, after all that is why you are there :-). You will develop situational awareness, and an ability to manage your workload and at the end find yourself peaking in terms of your skill, and you find yourself ready for test.
With regard to the type rating, again, only my experience, I found it tough. Again not rocket science, but there is a lot to learn in a very short space of time. You dont really have time to breath. As the head of training said at the ariline I fly for, when you finish the type rating, you are hanging on by your finger nails, and that is certainly how it felt for me! Then it is onto line training and it starts all over again
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Saying all of the above, its the best job in the world, and certainly worth the blood sweat and tears. I still love it when crewing call me off standby, to say, we have a nice little duty for you, can you fly an A320 from Gatwick to Heathrow empty, to which my response does a bear **** in the woods?
All the best.