Windows 7, Java 1.7.0_09
I'm not 100% sure whether this is a bug or a feature.
Typing /difficulty <0|1|2|3> into the command line with the allowCommands NBT tag set to 1 or having spawned a world with cheats enabled to change the default difficulty for the save, not just the runtime difficulty
With the NBT tag allowCommands set to 1, or after spawning a world with cheats enabled, typing /difficulty <0|1|2|3> into the chatbox (command line) does not change the difficulty set by the setting in the ESC menu. The environment correctly reflects the change (mobs despawning when set to 0), but after changing the difficulty and reloading the world the difficulty set by the ESC menu takes precedence over that previously set.