I've played a fair amount of Liszt before, and started learning this recently. I think it sounds much more challenging than it actually is, but it still is quite difficult. I find that the most challenging part of the piece is the hemiolas in the middle section -- it takes an awful lot of control and expression to get the left hand and right hand to sound natural simultaneously.
#8 is fairly tough, but I think #4 (Mazeppa), #5 (Feux follets), and #12 (Chasse-neige) are considerably more difficult. #10 ("Appassionata") is also quite tricky, and if you're ever anxious to improve the strength of your fourth and fifth fingers...this is a good one to learn.

Well, not to mention that I think it's the most beautiful etude within the set.
And BTW, donjuan was being sarcastic and all, but in case you didn't pick it up....don't try the Douze Grandes Etudes unless you have a lot of time on your hands and an intense willingness to try things that may not have
been designed for the ordinary human anatomy.
Re: octaves being easier than the chromatic runs -- I feel the same way. They are easier for me because I think my arm and wrist action is much better than my fingerwork. I don't find the octave jumps particularly difficult but have had quite a bit of trouble with chromatics and arpeggios since I got tendinitis in my right hand a couple years ago. My fingerwork hasn't been the same since and it is coming back really slowly....(interestingly enough, I was working on the Sonata in b minor at this time -- maybe this had something to do with it.)