Which saga/part is harder greatly depends on the character's skills and abilities. I'm not talking about the difference between being Master Warrior and being Novice Archer. Some quests are much easier for elves, because of hide and/or the ability to use archery while riding, others will be a pain for anyone without ranged, or for ranged characters, etc.
So far, out of the 9 episodes released, the 9th is probably the hardest overall, but if you know what to expect, it isn't the one most likely to get you killed.
The first episode the the longest and also one of the the hardest. The last part will have liches spawn right on you, insta aggro and most likely firebolt (chaincast FB of course) you into oblivion. Any elf shall, after this EP, call Hide "My precious" and have discussion and debate with it. Ranged character will have a hard time, giants even worse. A good windmill skill, a quick play dead and/or using a AoE Pet can make this somewhat less painful.
The second episode is quite a bit shorter, but still one of the longest. It also features the dreaded liches (learn to hate and fear them) and thus is a prime candidate for dying. These only show up in a shadow mission after some Argus (*hint* kill the last Argus far from the spawn point to avoid dying). The second part is a relatively easy dungeon which shouldn't be much of an issue for anyone.
The third episode is a marathon of combat missions. I can't really say how easy or hard it would be for others, but I tend to find these more tedious than hard. Have some potions ready if you plan to run the full EP. You'll face a lot of relatively weak enemies, but be mindful of the poets in the final part (that actually apply to every EP where they show up: aka most of them). A single Dischord could get you from full health to deadly. Use WM, Counterattack or ranged, do not use defence, smash, charge or normal attack.
Episode 4 is mostly about running around chatting with NPCs. The final battle however is the largest battle you'll see for a while. This is also where you first meet the Unknown men. Like liches, learn to hate and fear them. They have some weird not quite advanced stander skill. They can use final hit and will happily spam it every now and then. Unknown men laugh at the very notion of cooldown, they use FH whenever they want... and often cancel it or interrupt their attack for the same reason. You don't actually need to fight in this battle, you only need to wait for something to be finished and, ideally, keep enemies away from the NPC involved. Tons of other NPCs will help, if only by getting smashed all over the place instead of you.
The fifth episode can be the hardest or the easiest depending on what you do. Like episode 3, there is a lot of combat missions, but you get help from other milletians in some of those. In this case, "help" can also mean "whatever, just kill them while I sit back there". Not doing so is likely to get you killed.
Episode 6 is where stuff gets real. Where you will have to think how to best use whatever abilities you have. There is only 1 major battle, but it is against your better (or so the quest pretend
). Surviving this will require to use tactics you wouldn't normally need or even consider. Depending on your skill focus, this can be boring (but easy), hard and stressful or worse. In this mission, you should try to avoid getting hit at all cost, and this includes while using defence.
Episode 7 is... well episode 7 should have been a single cutscene. There is no challenge here unless you try to get it done in less than 6 hours (in-game hours).
Episode 8 should not be much of a challenge either. There is a few RPs and a single mission you fight as yourself. That one should not be too hard, but having some ranged capabilities (note that I said capabilities, not skills... you just want some range) for pulling mobs away from the spawn point. You will however need drops from both shyllien reserve and hillwen mine. Those could be traded, bought or hunted. Hunting for those could take a while, but should not be too hard if you avoid chewing on more than you can handle.
Episode 9 lets you play as several characters in RPs and then one final battle as yourself. This final battle can and probably will be one of the hardest at this point for most people. You'll be facing some unknown men, but this time you are on your own. Dealing with these is half the battle.
TL;DR : The main challenge for most people will come from the black dragon knight, liches, unknown men and poets (seriously, fear the poets!). Each can be dealt with in various fashion, but you will often have to think and react quickly no matter your chosen method. There is a lot of role play mission. Most of them are not too hard, some are stupidly easy, but some can prove challenging. One suggestion for those: whenever there's some dialogue at the beginning of the mission, take advantage of this pause to set your hotkeys in a way you will feel at home in your new body. Also, always check the skills and items available.
I would gladly go into more details over any of those EP, but that would have to be some other day and it is on the condition that you don't mind spoilers. I tried to avoid them here, but I wouldn't bother if anyone ask for details.