Anathem and Diamond Age were harder for me because of the depth of ideas. I had to slow down and think to get through them.
Baroque Cycle was harder because of the sheer number of characters with multiple and/or similar names, which is realistic but annoying. There's a list of characters in the back of the first book, which helps, but it's annoying to have to keep the first book handy when you're reading the others.
Stephenson does have a reputation for starting great books and not knowing how to finish them. But I think I've gotten more than my money's worth out of all of them.