How difficult is changing the head gasket? anything i should watch out for?

Make, model, engine and year of your vehicle will help. If you have little or no experience working on cars this will hit Eleven on your scale and take at least 2 days to do! The amount of work needed can depend on the engine your working on. V6 and V8 engines have 2 head gaskets and need a lot more work.
Changing a head gasket is a MAJOR job.
If you have ANY doubts about doing it pay a good mechanic to do it for you!
If you haven't done a head gasket before the first thing you need to do is buy a good quality workshop manual for your vehicle, Read the method through at least 3 times BEFORE you start then take your time as you work.

Some tips about 4M40 head gasket 2nd time around
http://www.pajeroclub.co.za/forum/viewtopic.php?t=4435
Could be head gasket, could be other issues with engine head might be a head bolt which screws into coolant canal.
these links may help.
Way to test head gasket and determine what might be the problem
https://www.youtube.com/watch?v=uVn-IDi7da8
Part 1 checks and replace head gasket
https://www.youtube.com/watch?v=06l5jHMZt0Y
Part 2
https://www.youtube.com/watch?v=nDf_IrEEbYg

After getting head off have it checked out and go back together with felpro gaskets and watch toqure settings.

I would watch some You Tube Video first

If you need too many instructions, then your
in over your experience level

If your doing a V6 then that maybe too much
& too difficult,just bending over the engine for
an hour your back is shot for a week

the head gasket has failed so its head off ,not a difficult job just time consuming,i know as i have done two over the last year they get to certain age and thats it the oil feed through the head gasket goes and it seeps into the oil end of story ,watch how you remove the idler for the fan belt at the top of the engine they do sort of stick and can be a right job to get off .Dont try tapping it as it will break the front cover ,cost 600+ euros guess who broke one no names mentioned here of course .

It's possible that the old head gasket has de-laminated and the oil is passing through the inside layers of it. That is sometimes difficult to see.
Too late to check now but you should have checked the oil in the engine for coolant intrusion. Once apart, there always will be some in there so looking now is not valid. (why you always need to change oil after changing a head gasket).
Some '00 4.0L heads develop micro cracks that are difficult to find...it's possible you have an earlier head than the vehicle build year.
Also, have your radiator tested.... there is a transmission oil cooler in it if it's an automatic trans.
If it fails, you will also have oil in the cooling system, but it will be trans oil.
If you originally had coolant loss and steam from the tailpipe or you had a hydrocarbon test done on the cooling system I'd suspect the gasket or the head. If not, put the new gasket in and have the radiator tested. Same as coolant in the engine, if the cooler went bad, change the trans oil.
if it turns out to be micro cracking, either replace the head or use one of the high $ block sealers
to stop the seepage. 'Though I don't like using sealers, on micro cracks they seem to work pretty well if the directions are followed exactly..

Sorry you are having trouble.
This is a major under job. You did not specify the engine size.
A manual will be a great help to you but I will tell you the basics
Remove the exhaust from the head (difficult)
Remove the intake manifold(difficult)
Remove everything else connected to the head(difficult)
Remove head(easy)
Install new gasket (easy)
Put it all back together
I hope this helps

There are no cheap fixes for a head gasket tear and using Bars was about the worst idea he could have come up with. That stuff is indiscriminate - it'll plug up anything that resembles a rupture. If your head gasket is torn between a cylinder and a cooling jacket, then fine, but if it's an oil/coolant tear the Bars will be mixing into the oiling system and potentially clogging up oil capillaries in the head. Short answer though is no - a head gasket failure means the head(s) must be removed, the gasket changed, and everything reassembled. The only thing you can do in the mean time is take off tge radiator cap if you must drive it, so that the pressure in the system doesn't build and keep the thermostat closed. Do that and watch the coolant level and you can get away with a short hop here or there. That's it though.

go to the library and borrow a manual its not a very hard job but you will need a manual.

I suggest having a good tech work on it. That's a good engine but difficult to work on.