But I would say the opposite, if it is hard it's not being taught correctly. Statistics shouln't be hard, at least not in undergrad. Graduate level classes that focus on stuff like HLM and SEM will likely be challenging.
The best way to learn stats is to get a data set that interests you at least somewhat and immerse yourself in it. Try out new approaches to data analyses just for the sheer fun of it. Make up hypotheses and test them. Become best friends with your local statistical consultant. Go to stats workshops. Read good stats books - Tabachnic & Fidell, Stevenson are my favourite. In my humble opinion, if you are scared of stats you shouldn't be in psych.
I have to strongly agree with Lazure's first point. Undergrad stats never really made much sense to me until I actually became an RA and was given a data set to mine (with a dangling carrot of publication if I did a good job) -- once I got going with that I actually wanted to learn more so that I was sure that what I was doing was sound. Nothing like having a stake in a project to give you an incentive to do a good job.