I finished the first stage of the Boletarian Palace (1-1) and I'm trying to clear the second (1-2) and the first of the Stonefang Tunnel (2-1). What order for clear all the stages do you recommend? I prefer a list order by difficulty but any order is welcome with a good explanation.
Generally you want to plan your route based on your class. Each level has different equipment sets lying around for you to pick up. That having been said, I would personally go something like 1-1, 1-2 (1-2 is really quick), 4-1 (so you have access to a good farming spot, plus the regen ring and crescent falchion), 3-1 (there are 2 or 3 armor sets here, and it's not that difficult besides the damn Cthulu heads), then all of 2, the rest of 4, the rest of 3, 5, and then back to 1.
Once you get a little more experience, you're pretty free to go in whatever order you want. The power levels in the stages are all relative (the first section of each stage is weak, second is hard, then there's a boss), so explore a little.
I haven't finished the game yet, but my order so far has been: 1-1, 2-1, 1-2, 3-1, 4-1, 5-1, 3-2, 3-3.
If you're playing a magic-based class like Royal or Magician, it's well worth going through world 3 (Tower of Latria) fairly early if you can manage it. The soul you get from the 3-3 boss can be traded for a very handy and powerful spell.
I'm a Royalty and this is how I'm doing it:
I haven't gotten further than that, but this is what I plan on doing next:
I hope this helps a bit.
This is a really old topic, but it's the top result in Google, so I thought I'd share my opinion.
I had a hard time with Demon's Souls back when the game first came out. After playing through Dark Souls (and DS2) and most of Bloodborne, however, the game became much easier.
As others have stated, the enemies in the second level for a given world generally have more HP and deal more damage than their counterparts. If you are able to kill a dregling in 1-1 in a single hit, it might take two hits to kill a dregling in 1-2. Keep this in mind as you progress through the game.
One more thing that I want to mention is that defense in this game helps quite a lot. I don't know the formula for how damage is calculated in Demon's Souls, but it seems as if the game subtracts your defense from the damage an attack is meant to deal to you. In other words, it isn't a percentage-based system.
I ordered the levels based on difficulty (easy -> hard), and arranged them into groups. All of the levels in a given group are similar enough in difficulty such that you may want to do them in a different order based on your build. For example, if you are playing a tanky, melee build, then 4-1 might be easier for you than it would be for a spellcaster.
Tier 1: During this first phase of the game, you will be switching your gear fairly often as you discover new items and refine your playstyle.
1-1: Cling Ring and Purple Flame Shield.
This is only my opinion. I must say that after having played through the entire souls series, Demon's Souls is the easiest. However, the real difficulty in a souls game is the learning curve. In other words, the first souls game you play will give you the hardest time.