I forgot to mention I love all genres but out of all the genres I have read/written the hardest overall is probably psychological.
Why? Simple, it is hard describing the despair a character suffers through certain situations.
Making the reader go through what the MC is going through is not an easy thing. You have to do similar things in horror but psychological is a real test to inverse the reader in the shoes of the MC while horror, romance, action, etc. You do have to make the reader get in their shoes but there is still a certain barrier with the reader.
Like @cherrystark mentioned romance can get cheesy. That same cheesyness is what creates a barrier with the reader and the MC since not all problems get fixed with the power of love.
But no matter which world you create (be it horror, fantasy, or even sci-fi) the psychological genre always connects the reader with MC meaning you feel their pain/torture more than you would in any other genre.
In horror you can feel scared to a certain degree but you always remember it is a fiction when the main enemy is a ghost or something similar.
The psychological genre on the other hand has a common enemy we all have and can't escape. OUr own brains!!!
Considering all of what I mentioned, I consider the psychological tag to be one of the hardest things to do because not every writer can dive you into a corner like a psychological author can.