There are several factors to take into account when evaluating the challenge of collecting any given country. First, how difficult is the country to complete using the major catalog for that country? Second, how pricey is the material from that country? How much will it cost to complete (or at least make a strong representative collection)? Third, price aside, how available are the more unusual and scarce items from the country? And fourth, how much philatelic knowledge is needed to collect and appreciate the stamps of the country?
By all these measures, the most difficult country to collect in the world is the stamps of the United States. First, there are more rarities among the major numbers of the United States than any other country. Many of the Special Printings exist is quantities of only a few hundred or less, and of #5 there are less than fifty copies. Second, because of its popularity, the stamps of the United States are very expensive with a very complete collection of the US worth millions, far more than any other country. Even without the rarities, a good US collection is usually worth far more than most other countries. Third, price aside, many major numbers of the United States are just not available, and a collector must literally wait for the death of another collector for the stamps that he needs to be offered. And fourth, collecting US on a major catalog number basis requires far more knowledge than nearly any other country because so many design types (the 1851-57s) and printing types (the reissues and special printings and Washington-Franklins) require great knowledge to determine and evaluate.
True, a modest US collection is no more difficult to assemble than a modest collection of any other country, but, at the higher end, US philately is the most challenging of all the world’s major countries. Keep this in mind when you are choosing a new specialty. Many very sophisticated countries require far less time and financial commitment and thus give a better enjoyment-effort return.