The 3rd movement is technically harder than the first. Okay, I did what you told me to. Do I get candy? Haha, just kidding.
I have never played the 1st Concerto, other than working a little on the first movement. From what I could tell, the first movement really wasn't that difficult and just needed some focused practice. I personally think that you should start with the 1st movement (just my opinion). You definitely shouldn't be starting with the 3rd just because it's harder (if it's your favorite movement, by all means start with it). When I work on a piece, I don't think about which movement is hardest. I just think that this movement might need more work than that movement, or vice versa. With the technique to conquer this piece, it isn't a matter of difficulty; it's a matter of how much work you have to do to get the piece to performance level. Do you have a time limit on learning the piece? If not, I would suggest taking your time with it and really enjoying the concerto. Maybe you could learn your favorite passages first, so you would go ahead and get a lot of enjoyment out of it.
Good luck!
John