It’s hard to say exactly. Each gender has its difficult elements. Women have to deal with a lot of pain and discomfort associated with menstruation, pregnancy and birth. Plus, men don’t go through menopause, which can be pretty friggin’ miserable for some women.
Women have a bit less leeway as far as public opinions go relating to sexuality. Women who sleep with several men are often labeled as whores, while men who sleep around don’t deal with nearly as much scorn. Men seem to get away with a lot more when they’re little, like fighting and being rambunctious, because of the “boys will be boys” philosophy, whereas girls are “supposed” to be more submissive.
I’ve noticed that overweight women are also more criticized than overweight men. I remember seeing an episode of the Tyra Banks show (I was bored, okay?) in which she talked about obesity in men and women. Overweight men were described more as “chubby” or “cuddly” whereas overweight women were “slobs” and “fatasses.” That’s mostly in Western culture, though; some Middle Eastern and Eastern cultures value fatness highly.
I think men have a lot of pressure to be “manly” – do you notice how gay men are considered “worse” than lesbians? Men who do anything outside of the norm of sports and other such activities, they’re at risk of being called “faggots.” When getting women, men risk a lot more harsh rejection than women. A woman can insult, mock, or even slap men who come on to them without much retaliation, whereas men turning down women in such a way are considered huge jerks. This can lead to a lot of psychological problems and self-confidence issues.
I remember there used to be a show on Discovery or something about a man and a woman switching jobs. The man had to become a secretary or something, while the woman became a firefighter; coworkers and others were told to treat them exactly as they would treat the original person. Both people had a lot of difficulties adjusting to life as the opposite gender and came out with an appreciation for the difficulties of being a man/woman.
So there’s no real absolute answer for this question. I say just people should do the best they can to overcome individual difficulties instead of complaining about how the grass is greener on the other side. :)