well, it depends on other phd candidates in each program. Usually, THE big difficulty is in maths and stats and pression that department is putting on you to see how do you perform under pression (something like in army). Personaly, I think that it's unefficient method because people are not in army or in medecine or in police or other risky professions. But, you can choose a program with less pression and do a great thesis and get the job you want. In Phd, the challenge is not in curses and two years scolarship but in your new ideas and the quality of your thesis. Do not forget it. Comprehensive exams and all first year torture are, unfortunetaly, the necessary conditions in your program and they are far away from the sufficient conditions.
So, do your best in first year to stay in program, to learn something in each area (micro, macro, econometrics) but manage your forces for following years....