ROTT Classic Difficulty skills question

I've been messing with ROTT since I preordered the 2013 ROTT and I don't know if it is harder if you go up the skill list or lower. Other than more enemies/doing more damage, what's the difference between the skill levels?

Enemies also have more health the higher the difficulty level. In the highest difficulty level everything but the Low Guards are bullet sponges.

So it must be the top that is most difficult then since I chose the 3rd one when I did my video test for it.

In skill 4, higher chance for lightning guards to fire rockets which is fun. Killing enemies with bullet weapons takes ages.