It is actually very hard to get to the sun. We launch rockets on the earth rather near to the equator to get a boost from Earth's spin, right? The same applies to Earths orbit around the sun--that also gives you a boost. A probe to the sun would actually have to be sent to Jupiter to get a reverse version of Voyagers slingshot--then it would null enough speed to essentially free fall to the sun: http://en.wikipedia.org/wiki/Solar_Probe_Plus
As the probe passes around the Sun, it will achieve a velocity of up to 200 km/s (120 mi/s) at that time making it the fastest manmade object ever, almost three times faster than the current record holder, Helios II
Trust me--the Moon is easier. In some ways, even easier than circularizing a perfect geostationary orbit.