Well I've experienced options, equities, futures, and spot forex.
Forex was definately the hardest for me. That could be because I like to scalp. Forex doesn't work for me in that way.
Second hardest was Futures. The moves are just so quick, any time to think is almost eliminated and even a second or two could almost eliminate the possibility of a great entry and turn it into a bad one. Again, I like to scalp. I was doing this on the YM though, ES might have been different, who knows.
Third hardest was Options. I actually tried a demo account at think or swim and did very well just buying calls or puts. Although more complex things like greeks and stuff I don't yet understand. Also not good market for scalping. Like I said though, only on demo, so my response should not be taken with complete seriousness with regards to options.
Equities, this was the last market I tried, and quite honestly should have been my first I think. It offers everything. You always have action, different stocks to pick from. For example, I like following AAPL. The only issue is the high cost to trade. If you go to a prop firm, this is not that much of an issue anymore.
Again, this is from PERSONAL experience, not saying your experience would be the same. I just wish I had tried equities first, might have saved me from the pain of a Forex mini account.
So that is my personal experience as a scalper/day-trader.