This is a similar question to the one here, but different enough I think to be worthwhile asking.
I thought I'd put as a starter, what I think one of the hardest to grasp is.
Mine is the difference between probability and frequency. One is at the level of "knowledge of reality" (probability), while the other is at the level "reality itself" (frequency). This almost always makes me confused if I think about it too much.
Edwin Jaynes Coined a term called the "mind projection fallacy" to describe getting these things mixed up.
Any thoughts on any other tough concepts to grasp?