"Th" is actually the only thing in English I'm still trying to master after all these years. German is actually easier to pronounce for me, maybe because of my native Spanish skills.
There's different 'th' sounds. Which is more difficult; the more gay-sounding 'th' sound as in 'theory', 'math' or the more cool sounding 'th' as in 'the', or 'weather' - which has a kind of a buzzing sound to it...
As a side note, I always thought the 's' sound was the most unpleasant sound in a language. I remember as a youth in church (large cathedral) everyone would be praying in unison from a book, sort of whispering, and everytime they got to an 's' sound, it sounded like a whole bunch of snakes were hissing.
Ironically the 's' sound was the only one I had to go to speech class for, in the 3rd grade (around age 7 or 8). I was putting my tongue between my front teeth, instead of behind them.
But, they fixed me right up. While I was there, btw, there was this girl that couldn't correctly say 'r' to save her life. Like 'reach for the remote' would be... 'weech fow the wemote'.
I couldn't understand why she couldn't say 'r'. With me, they told me "you're WRONG! say 's' like THISSSSSSSsssss" I said, "OK, fine - I'll say it your way. Whatever." There was no 'difficulty'. I just didn't know better. I just didn't like talking like a snake. Didn't seem natural. But the POINT is, that once I was told what to say, I COULD easily do it.