Each of them have their own difficulties, but No. 1 is the most straightforward, technically and musically, and is a popular starting concerto for younger students.
No. 2 is very difficult, both technically and musically. This concerto was actually the first that was written, but it was published later. This work is very much in the early Classical style, and like Mozart, requires a great deal of balance, light texture, and clarity. The first movement's cadenza is very difficult, in terms of technique and again, balance and voicing. The second movement, if done correctly, will exhaust you physically and mentally, with the extremely beautiful harmonies. The third movement is difficult technically.
The third is difficult on the technical side, as well as musical challenges in the second movement, being one the most tenderizing slow movements ever.
The fourth is difficult musically, and is lesser played in competitions. Understanding the fourth musically is very hard. Although this work is much less showier than the others, it presents one of the most profound and most beautiful slow movements ever written, with all the hauntedness and mystery that pervade it. The first movement is very singing and warm, and lovely. The third movement is lively, fun, and energetic.
The fifth is perhaps the best known of them, and presents numerous technical challenges.