Hellboy hasn't had it easy. Created by a witch and a demon Prince, he was intended for something sinister but instead was raised by the United States Army and the Bureau for Paranormal Research and Defense. He grew up having all the looks of a classic demon with his red skin, hooves for feet, a tail, etc. but it turns out he's a pretty stable guy and even has a sense of humor. After eating pancakes, he became bound to the mortal world but still retains many useful powers and abilities which over time has earned him the title of “world's greatest paranormal investigator”. It looks great on a coffee mug and all, but having to walk around looking like a demon doesn't always get you the respect you deserve. People tend to make assumptions.
Still not convinced being Hellboy is so hard? When you've put on one of our Hellboy costumes and spent some time walking in his shoes then you might have a leg to stand on with your argument but until then don't be so quick to judge. Yes he has super-human strength, healing and endurance. Yes he can comprehend ancient and magical languages. And yeah, his utility belt and his Right Hand of Doom also lend him certain advantages when dealing with supernatural forces. But, still it's no cake walk being a demon.