I'd say your young adult years (twenties) are pretty difficult. While each stage of life will present you with new obstacles, I think the challenges you face in your twenties are (or appear) to be exceptionally daunting.
This is the time when you're starting to gain more personal and professional responsibilities. You're no longer a reckless child/teen but you don't quite feel like a full blown adult. Many people in their twenties are still trying to grasp who they are and where they fit in the world. They feel like their decisions now will impact the course of their lives for the next 50 years.
Your twenties is the time when your peers start to separate themselves socially and you see parody professionally. Some people have families, others start to excel in their careers, and dreams start to become reality. Basically, you're no longer clumped in the same track as you were your entire childhood (i.e. grade school where everyone studied the same thing) and you start to see differing results based on your decisions.
This can be difficult because young adults are very vulnerable to peer comparisons. Seeing others hit their goals and finding their place in the world can exacerbate your own confusion, causing distress.
Your twenties are also a time when your body starts to change. Your energy isn't the same as a teen, you can't eat whatever you want, and hangovers are now 5x worse than they ever were. You start to realize that your body is no longer infallible.
I'm sure I'm biased because I'm currently in my twenties, but I truly believe that no matter how great your twenties can be, it's an especially difficult time for many.