Easy - For beginners, combat won't cause any problem
Normal - Balanced, good for standard gaming
Hard - Increased damage taken from enemies, more build/perk wise required to survive
Very Hard - Recommended to hardcore players, only few shots from death
Can you change difficulty after making new game ?
Yes, you can at settings (gameplay tab)
Threat level : Very low (Very easy), Low (Easy), Moderate (Medium), Dangerous (Hard), Very Dangerous (Very hard)
Best range for all jobs : Moderate to Dangerous