I've only chosen normal, which from what I can tell has the standard zombies player health level. You go down in 3 hits without Jugg, and in 5 with Jugg. I have no idea what the others are, or if they affect anything outside of player health (money earned, damage dealt, rate of perks falling from the sky, zombies per round, wall weapons prices, etc.)

I'd be interested in a detailed breakdown of the difficulties and what they change as well!