I think all the games are challenging, but have a really good learning curve, especially DMC3. You have a lot of room to get familiar with how best to kill things while working up from Easy to DMD, and there's an endless combination of weapons, styles, and items you can use to help you along. It took me a lot of playthroughs to improve from pure suckage, but I was rarely bored or too frustrated, and the better I got, the more fun I had, so it was worth it. There's nothing more satisfying than when you first start seeing S and above rankings pop up everywhere after enduring D and C.
DMC2 was too easy, even when I really sucked. DMC1 was the hardest. I'd trade Nelo Angelo for Vergil any day, especially on the higher difficulties.