I have taken and passed all four parts of the CPA exam. I have also taken Level I of the CFA exam (twice). I took Level II last year and failed. I am taking it again in 2012. As such, I have firsthand experience with the difficulty level of the exam.
First, let me say this--you did NOT ask which one is more useful, which one will open more doors, or which one pays more. If you had asked that, I would answer that question. (FWIW, I believe being a CPA will open more doors than being a CFA.) But you that's not the question. The question is, "Which is harder--the CPA exam or the CFA exam?"
About me--I have a BBA in Accounting and a MBA with a Finance Concentration. I took the CPA exam as soon as I graduated from my MBA program, then went straight into the CFA program. (Being a CFA was the goal all along--being a CPA was just icing on the cake.)
Level I of the CFA exam was as hard (or harder) than all four parts of the CPA exam combined. I put in about 250 hours of study for all four parts of the CPA exam combined. I studied at least that much for Level 1.
Level II CFA is MUCH. MUCH harder than Level 1. When I failed Level II, I had studied about 250 hours. This year, I plan to put in 300-350 hours, on top of the 250 hours I studied last year.
There are several reasons why I think the CFA exam is harder. #1 - Although none of the CFA material is very complex, the sheer volume of material that you have to cover is astonishing. For example, just in the accounting section of CFA (Levels I and II), you will cover almost all of the material that you learned in Intermediate Accounting I and II, and in Business Combinations. (Thank God you don't do journal entries in the CFA exam.) And yes--the CFA Institute makes you learn all the new pronouncements. And you have to learn both IFRS and GAAP, and the similarities and differences between the two. And that's just the Accounting material. That's probably about 15% of all the material you have to learn. You still have to learn statistics, economics, fixed income, equities, derivatives, corporate finance, and portfolio management, to name a few.
#2 - The CPA exam is broken down into smaller sections. You can study for only the FAR section, then take the test for only the FAR section. Once you pass, you move on to AUD. It's certainly easier to study for one section and take the exam on only that section, than to study for the whole thing. Studying for the CFA exam is like taking FAR, AUD, BEC, and REG all on the same day. And that's for Level 1--the easy level.
#3 - When you fail a section of the CPA exam, you can study for another month and take the test again. The subject material probably won't change in a month. So if you study 90 hours for FAR and fail, then you can just study another 50 hours, and have 150 hours of study time. With the CFA exam, you have to wait a full year, and study a new curriculum. Granted, the curriculum is mostly the same, but it's usually different enough that you have to start over.
#4 - When you fail a section of the CPA exam, you fail only that section. When you fail the CFA exam, you fail the whole thing. For example, my scores in the Accounting and Equity sections of both exams were extremely high. However, I had trouble with derivatives and portfolio management. My failure to understand derivatives and portfolio management makes me have to study for the whole exam again, including accounting and equity.
In short, Level 1 of the CFA exam is like studying for FAR, BEC, AUD, and REG combined.
Level 2 of the CFA exam is probably twice as hard as Level 1.
I don't know how hard Level 3 is, but I have heard that it is more difficult than Level 1, but less difficult that Level 2.