I think Abbie Carmicheal is on to something. I am surprised at how often the French Horn comes up as a difficult insturment to play. I didn’t find it that difficult to pick up. The flute, on the other hand…
I do think there are anatomy variations that are not easy to understand. A difficult instument may be difficult, or it just may require unusual anatomy.
Do you, by any chance, also know more bad guitarists than players of any other instrument? 
(I sure as hell do…)
I’ve often got the impression that many of the ‘difficulties’ of the horn are actually from the differences between the modern instrument and that which particular music was written for. Plus an awful lot of bad writing. Does this tally with your experience?
My opinion is that Victor is not of this earth…
For those saying that triangle, cymbals and gong are the easiest to learn how to play: bear in mind that, if you’ve got this instrument in front of you, you’re all alone. If you play at the wrong time, everyone will know. If you’re one of 12 2nd violins, and you screw up, most people won’t notice… or they won’t know that it was you. Triangle goes ding at the wrong time? You screwed up. Plus, everybody watches the percussion because they’re doing all sorts of interesting stuff, moving from instrument to instrument and smacking things with sticks and hammers.
Easiest instrument to play: Aeolian harp. Just set it up and it plays itself.
The classic answer is that the clarinet is easy to play, and the oboe very difficult.
No one can argue that the oboe is easy. HOWEVER, while the clarinet may be easy to play, listening to an elementary school woodwind ensemble will convince you that it is very difficult to play WELL.
This reminds me that I read of a famous conductor who said that the oboe is “an ill wind that no one blows good.”
I took oboe lessons for years, taught myself to play piano, played the tenor sax and euphonium. In my experience, I’d say piano is fairly easy. Oboe and euphonium are equally hard. It took a while for my oboe not to sound like a dying duck. Brass is such a difficult experience for a woodwind player - only three keys and the notes created by the tension of your lips.
I play(ed) trumpet and French horn, and I can tell you that yes, the French horn is hard. It is a very small mouthpiece, which in brass instruemnts means that more of the pitch and tone is created by how yuo use your lips. A tuba, on the other hand, has a HUGE mouthpiece, and it is a lot easier to hit the right notes. I remember in high school band the brass players always made fun of the woodwind players because they had it so easy. They liekd to assume that since they had more “thngis” to press with their fingers, that it was harder to play. Well, initially, learning how to get the fingering may be harder, but once you get past that, it is much more difficult to get the nots in brass instruments. You know how hard it is to make a couple dozen notes when you only have three valves? I remember the first time I got a piece of music and I had to continually hit a high C, no easy feat for for a high school trumpet player.
The first day i picekd up a French horn, though, I considered my trumpet as easy to play as those damn woodwind players did. 
If your lips are just a bit off, a very bad sound can eminate. In addition, gthere was a lot more tubing to ahve to push air through. If all my music was more like things a tuba or barotone played, well, all would be well, but arrangers tend to like the way a French horn sounds, so they give it thigns that might normally go to a string instrument, or trombone. Tonguing 16th notes at 160 beats/min is hard in a trumpet, damned mear impossible with French horn (at least it is for someone who had been playing it for less than a year.)
I tried to teach myself piano. I would agree that it’s fairly easy–if only I had two independent brains! Right hand: no problem. Left hand: no problem. Both together: complete paralysis.
Percussion instruments aren’t always as easy as they look. Triangle and gong may not require a lot of fancy fingerwork, but the people who play them often play lots of other percussion instruments in the same piece. A gong can be especially deceptive–strike it too softly and no one hears it. Strike it a little too hard and immediately liquify the brains of everyone in the building. (I played tympani in a high school orchestra, but occasionally had to reach over and bang the gong.)
Some musicians like to joke about the un-musicalness of drummers. Hell, a monkey can sit behind a drum kit and bang on things, right? Sure, if the monkey has four independent brains, as opposed to the two required to play piano. Each limb of a drummer is doing something different most of the time; it requires amazing coordination to put it all together. And even if doing nothing else, a good smooth roll on a snare drum takes plenty of practice.
I’ve played a few wind instruments–flute, sax, clarinets (mostly alto and bass clarinets). Not so hard to play adequately, but like most instruments, not easy to play really well. Sax, especially tenor or bari, can take an enormous amount of wind even to produce a sound. Flute was much easier for me, but fast fingerings are not easy to master, and to get a good tone requires great embouchure control. (I never tried to play piccolo, so I don’t know if it’s hard to play. I only wish it were impossible.)
My main instrument these days is electric bass, mostly fretless. I’d agree that electric bass is a pretty easy instrument to play adequately. Of course, to play like Victor Wooten, Tony Levin, or Jaco Pastorius is roughly as easy as walking on water.
Some instruments are harder than others to get started on. Violin, I suspect, has a pretty steep learning curve at first, whereas guitar and bass guitar really don’t. To master an instrument, even a harmonica, takes work. How much work depends on individual talent and inclination. I’m pretty sure I could learn to flap my arms and fly more easily than I could learn to play piano.
In a similar vein, the bassoon is sometimes called the “farting bedpost”.
Bassoon player here. I actually started on the alto sax which I believe made learning the bassoon much less difficult. Creating and mastering a balanced embouchure on the sax was far easier yet was a great foundation for the double reed instruments.
To the OP, I think the answer to the question is going to vary depending on one’s natural abilities.
I’ve played guitar almost thirty years. I’ve played lead, solo fingerpicking, bottleneck slide, electric lap steel and Dobro. I also play harmonica.
All instruments are (about) equally hard to master. Where they vary is how hard it is to get to first-notch competence.
Of the instruments that I play, I would say harmonica is the easiest – I was sounding good in a matter of months. But I haven’t really improved for years – it seems to have an unusual, steep learning ‘plateau’.
And Dobro is the most challenging instrument that I play: both hands have to get very proficient at a lot of things. You have to have very good pitch, especially to play bar slants, and a good sense of theory and harmony to take advantage of the polyphony. And your picking hand has to be as fast as a banjo player’s. Bluegrass Dobro (as distinguished from Hawaiian lap guitar and old-country Dobro) is basically slide guitar, played in your lap, picked like a banjo. Electric lap steel IMO is a little easier, because the bar doesn’t have to be as athleticly handled.
Acoustic bottleneck blues slide is not all that hard to get to first base at, but part of that is because people are used to the imprecision of a lot of the ‘primitive’ repertoire. To play it exactingly, like Robert Johnson, Tampa Red, or Bob Brozman is as hard as Dobro.
For most people, basic guitar, i.e., strumming chords around the campfire, is almost as easy as the harmonica. Fingerpicking is of course harder. Playing lead is a mixed bag: to get good enough to express yourself musically is quite a challenge, as with any instrument. But you can sound good enough to impress non-musicians pretty quickly, especially if you use effects pedals. (Playing lead with a slide (ala Duane Allman) is more exacting). I taught guitar for several years, and these were my observations.
Although I have no first-hand experience with brass instruments, I have always presumed they were very hard. My brother is a professional bassist, arranger and composer – he can pretty much play anything. And he said trumpet (which he switched from) was very hard.
I think the violin family of instruments (violin, viola, cello, bass) is quite difficult – it is tough to make a bow sound good.
I picked up a jaw harp about 20 years ago and had it down pat within minutes. Not just simple plucking, mind you. I’m talking about the types of complicated sounds like you’d hear in the Dixie Chicks’ song Sin Wagon.
The nose flute is easy to learn, too. 
The piano is easy in a way, because if you hit a key, you get the right note every time. The hard part is, you have to play lots of notes all at the same time, and sometimes you have to play softly with one hand and louder with the other hand. With a lot of instruments, you only play one note at a time, so you don’t have to worry about hitting all the right notes (and it’s easier to read music when you only have one note at a time).
And then there’s the organ–same thing as the piano, but you also play with your feet. That’s a bit tricky.
MrO, keep trying. It’s not impossible–if I can play the piano, anyone can!
Does anyone know how to play the theremin? Is it hard to play?
Not sure, but I think you’re right - I quit because I couldn’t get any good parts. They’d pick music without a french horn part ('cause they’re hard, you know) and I’d be stuck on clarinet again. I wish I said I’ve never seen a clarinet before.
I did go into it with a ton of piano experience, and I do think that helps with pitch and tone identification.
From easier to harder (from my experience in playing them).
Fretted Instruments:
Strum Stick (as set up like an appalachian dulcimer)
Appalachian Dulcimer
Balalaika
Bass guitar
Ukulele
Mandolin/Mandola/Banjolin
Oud/Lute
4-String Banjo (Dixieland style strumming)
Guitar (Strumming)
5-String Banjo (Picking)
Guitar (Picking)
7-String Guitar
Chapman Stick (This was a serious WTF moment)
Boy, is it ever! I caught Emmett Chapman on an old game show (I think it was “What’s My Line”) demonstrating his instrument. He played “Yesterday”. It was worse than terrible. I may never watch that particular piece of videotape again.
I don’t play theremin, but I ahve a friend who owns one and have gotten to fool around with it for several hours. While it is easy to play in the sense that it is easy to make noise with it (like a piano would be easy to play) it is unbelevably diffcult to control your tones well enough to play anything that sounds like music.
I got the opportunity to see Metropolis once with live thereman accompaniment
and it blew my mind.
I always thought the didjeridoo would be difficult to learn, though I don’t know how hard it is once you master the “circular breathing” concept. I worked with somebody who played one a few years ago and he let me try it, but I couldn’t get the hang of breathing in and out at the same time.
And there’s always the Space Bass. I met Constance Demby, the lady who invented it, once and she played us some of her CD. Seriously freaky, but it sounds kind of cool. No idea how hard it would be to play.