I think it is the hardest one I have played. It is like they decided since there is no penalty for death, they would make it twice as hard. Anyone you hear claiming that this is easier than any of them is crazy.
Here's the thing - I do think it's easier BUT I'm not sure if that's because it actually is easier or because I played Dark Souls and got help and had to learn to play, and then played Dark Souls 2 and got help and had to learn to play. It feels easier to me, but I suspect it's because I'm used to the style/format now, while before I was used to running around and being an idiot and saying, entirely too frequently, "Hang on, let me do something stupid to clear this area out." I have a suspicion that folks saying it's easier are experiencing something similar. Yes, it's a different control set, but when you have at least an idea of what to expect, it's a little different, y'know?
You guys...Bloodborne...dying...I can't stop dying...fall damage...not enough lanterns...blaaarghughrughugggh
Early in the game, you can get a hand lantern in Hunter's Dream for 2000 echoes. It's totally worth it because it goes on your belt, allowing you to continue to dual-wield weapons.
Beginner tips.
You are invincible if you time all dodge maneuvers at the right time. Timing dodges is critical to survival.
Use your gun to stun big enemies. The parry window is open as soon as they make a move to attack.
The axe is the best starting weapon. Great attack power, reach and move set.
Do not be afraid to die. You will learn from your mistakes and it is the games way of forcing you to farm and level grind.
If you get hit, immediately dodge and attack back to regain lost health.
Level stats that scale with weapon attacks. Level endurance and vitality also.
Boss battles are like marathon tap dances (or water dancing for you Game of Thrones fans). Dodging and countering. Hit once or twice and immediately dodge back. Boss battles are long and patience is critical.
Explore, explore and explore more. Every level has shortcuts designed for a quick run back to the boss. You don't have to fight every enemy. Run past them to get to the boss.
All of what mantooth said. Plus most of us a pretty veteran when it comes to souls games any of us can help you. Except maybe Ajacks hes terrible at these games
What Wes, Slay and Omo said. I'm not great at the boss battles and I have an annoying tendency to get killed by dogs (fuzzy little *******s are FAST), but that advice is all spot on.
Here's another piece of advice: the second you wonder if you have enough energy left in the tank to do something in Bloodborne, you don't. Save the game, stop playing immediately. The moment you wonder if you're too tired to activate the next lantern or fight the next boss, be done with the game for the night. And don't be afraid to play it in chunks. I'll gain a level or two, or light a lantern, or open a shortcut, or fight a boss, and then I'll usually stop. It's a game that rewards caution and patience, and just getting to the point where you can open a shortcut can feel like a huge victory.
Opening up the shortcut gate by the second lantern? You have to kill somewhere around 20-25 mobs to get there. You have to clear the bonfire plaza, then break some boxes on the left once you get past the bonfire, then drop down and kill a couple of dogs (kill the ones in the cages while you're at it - you get echoes and they can't attack you), a couple more mobs in a dark house, then one last ax-man before you can open the gate. That can take a fair bit of time, and it can be fairly stressful and honestly, that's decent progress for a Bloodborne session.
Besides, rushing through it means you're going to miss a lot of what makes the game great. Take your time and be patient. Everything will still be there and waiting (and just as eager) to kill you when you get back.