Personally, the DBQ is my favorite of the three essays. Who knows, it may become yours as well. This essay differs from the LEQ in a number of ways.
The DBQ is a test of your Historical Thinking Skills, especially interpretation, analysis and contextualization. The "documents" give you (almost) everything you need to answer the question. I put "documents" in quotes there to emphasize that you should not simply view them as "documents," you need to view them as HISTORICAL EVIDENCE. It's that EVIDENCE that will provide your answer to the question (that's why some teachers call this essay the "EBQ.")
The DBQ can be considered HARDER than the other essays. Indeed, the LEQ essay can be compared to a game of checkers, while the DBQ is similar to a game of chess. The rubric for the is somewhat more complicated than the others and there are more "pieces" to keep track of, more points to make sure you hit while you write.
So why is it my favorite? Well honestly, I think the DBQ can be fun. It's a bit like being a historical detective, prying out clues from the available evidence in order answer some important historical question (the prompt). It's a riddle, a puzzle, and it's interesting to put all the pieces together to see what the final product looks like.