I've been learning Chinese for just few months, all I can tell you is that for me the most challenging part was the tone changing and remembering characters. I've also looked for some Taiwanese lessons online, and it has got more tones than Mandarin, so I think it's a lot more challenging. If you don't mind answering, why isn't Taiwan local language taught at school?

The tones are hard, sure, but nowhere near as hard as people seem to think they are. I can't speak for anyone else, but even as a beginner, producing individual words or short phrases with the correct tone was pretty easy. It's exponentially harder to do it quickly and smoothly in longer and more complex sentences, especially when you factor in tone sandhi. And the tones make learning vocabulary and improving listening comprehension much harder than they would be otherwise. That said, with hard work and practice, I've gotten my tones to the point where they don't negatively impact my ability to communicate. It's not easy, but it's 100% doable.

Yes. For westerners, or people who don't speak a tonal language, Chinese pronunciation is very hard. This may sound like a simple answer, but I have honestly found the best 學習方法 to be "listen a lot and speak a lot". I think listening a lot is very important in learning any language, but for learning tonal languages it is particularly important. For example, if I have heard somebody say 說、講、學、做、想、要、我、他、她、英國、中國、台灣 many many times, then I am more likely to remember what the tones are for these words. It is because I have heard people say these words SO many times that now I hardly ever say these words incorrectly, and if I do say them wrongly, I can instantly hear that I made a mistake - it didn't "sound right" - and correct myself. Then, once you can remember the tones, you need to make an effort to get them right. You need to practise reading aloud slowly, making a deliberate effort to get the tones right. When you speak, you need to speak slowly and make an effort to get the tones right. When you speak, you need to listen to yourself very carefully to make sure that if you do get a tone wrong you hear yourself and instantly correct yourself. The initials, consonants and nasal sounds are hard, but they can be overcome with practice. I will never have tones like a native, but so long as you catch yourself and correct yourself when you make a mistake, are right 98% of the time and miss a few each day, that's enough.