Re: Most difficult nation
 

The question implies many subquestions.
Some of these might be
1. Which nation is the most challenging to raise armies and win battles with?
2. Which nation is the most challenging to master its full potential?

To 1, I would say that Mictlan is difficult because of its generally "weak" individual units. I find Machaka also challenging because of its poor PD. I find Pangaia challenging due to similar reasons, but somewhat less so. I would tend to put Ulm and Abysia and Jotunheim in the group: Not as challenging. But of course, as Gandalf and others have said, this will depend on your style too.

To 2, this depends even more on your style. I would also answer Mictlan and Machaka off the bat; there is a LOT of room there for VERY different strategies. To this group I would also put Tien Chi, due to its very diverse magic potential. I find both underwater nations challenging because I cant understand the contexts in which they thrive. I would also put Vanheim in this group, since I cant figure out how to use blood-1 or construct a decent pretender with good synergy effects.

Well just some thoughts.

Re: Most difficult nation
 

As well as depending on your individual playstyle, it would presumably depend on whether you were playing in singleplayer or multiplayer games.

For example, I've found it very easy to play Jotunheim in single player (helped by finding two Libraries each of which produced a surprising number of blood 1 sages to give me cheap bloodhunters) BUT I did notice that my tactics naturally relied a lot on Cold effects and slow tactical move units like Ice Drakes and Blood vines, which a human player would easily counter.