There are very subtle differences between "all that", "too", and "so", but in most cases you can use them interchangeably, where they will all approximately mean "very".
Not all that difficult implies that something isn't as difficult in comparison to some reference, such as how difficult someone may have expected. However, there needn't be an explicit reference; the phrase can be used by itself without any established comparison.
Not too difficult means that something is not excessively difficult. However, the standard for what would be excessively difficult can vary. In some cases "not too difficult" may mean that something is merely possible, whereas in other cases it may mean that something is easy.
Not so difficult has about the same connotation as "not all that difficult." "So" used to be used more for comparison or indication as in "hold the ball like so", meaning "hold the ball in this manner." Today "so" usually just means "to a great extent" as in "it is so hot today."