You are right. The concerto is defined as a work in which a soloist is accompanied by an orchestra. Thus, I myself have always seen the concerto as an opportunity for the artist to showboat his technical and musical ability through a considerably grandiose work. This is not to say that any given concerto is more difficult than any given solo work. That, of course, would depend on the composer, the period, and the purpose of the piece (if it's an etude, chances are it was meant to present some sort of obstacle). Well, Rachmaninoff's second, for example, could be described as an etude on steroids. Lots and lots of steroids. One could argue that Alkan's Symphonie for Solo Piano is tougher than most piano concertos. Then you have easy concertos, which is a kind of oxymoron, like Schumann or Grieg.
I really hate bragging about myself, but you asked, so you're going to get it: the first full concerto I was learned was Rachmaninoff's second. I learned the second movement, then first, then third, starting at age 13, and I finished it last summer (I'm 18 now). I performed the second movement with a school orchestra, but I've never given a full performance. In the middle of preparing the Rachmaninoff I started on Beethoven's 4th, which is a work in progress.
If you want to get into concertos and start performing them soon, start with an easier one, perhaps an early Beethoven or Schumann. I started with tough ones because they piqued my interest and because I had no deadline or any expectation to perform them anytime soon. If I could do it all over, however, I may reconsider. I love Rach 2 and Beethoven 4, but, being two of the most demanding concertos in the repertory, they require enormous loads of work in order to win a competition with them so that they can be performed, and right now I'm feeling like I haven't performed with an orchestra enough. Then again, if I could start all over again, I may choose to work on a lesser-played-but-still-great concerto, such as a Medtner or a Bortkiewicz or a Rubinstein. Who knows?
So, where you start with concertos ultimately depends on what you want to do with them, and how soon.
Topic: Difficulty in Concertos