I am on a pool that asks you to select a difficulty for your miner. How can some shares be harder than others if they are just a hash?
The lower the hash has to be, the higher the difficulty. Finding a hash whose first 32 bits are zeroes is not as hard as finding a hash whose first 36 bits are zero.
If you have a relatively slow miner, you probably don't want your shares to be too difficult or you'll find them only rarely and the accuracy of your tracking will be poor. But if you have a very fast miner, you probably don't want your shares to be too easy or you'll be finding so many of them that reporting them to the pool can become a bottleneck.