I don't play on the highest, but the difficulty affects the rate of skill gain, the rate of skill decay, the rate of energy gain (and possibly energy use), initial rapport and attraction values as well as the rate of gain/loss of those based on your actions, the price of stuff, and probably other things I can't recall.
A higher difficulty means skills increase slower, they decay quicker, you gain energy more slowly, NPCs will have lower initial rapport and attraction towards you, actions that NPC companions like will increase rapport/attraction by smaller amounts, actions that they dislike will lower rapport/attraction by greater amounts, and things will be more expensive