In my opinion, Havok and ODE will probably be the most difficult, followed by physx, with bullet being the easiest. But a lot of it comes down to personal preference.

I agree with Sneftel, but what do you mean by study, exactly? Do you mean which is easiest to use in a project or which is easiest to dissect and understand all its inner-workings and structure? If you're interested in learning the structure of physics engines, it may be better to start with one that isn't quite so expansive and complex so that you can get a feel for how components fit together. Perhaps consider even studying a 2D engine so that the structure is closer to the top and the math is less overwhelming. Farseer is a good one written in C# (it's targetted at XNA and Silverlight platforms).

If you are trying to learn how to develop a physics engine the book Game Physics Engine Development might be what you're looking for.

Source is available if you don't want to buy the book. The engine, Cyclone, isn't built for speed but to showcase the concepts. So its a fairly good starting point.