Ulduar isn't TOO bad from what I've heard
It's actually pretty challenging, was a bit too challenging last week with certain bosses being bugged and nearly unbeatable.
The #1 progression guild on our server has only made it halfway through Ulduar at this point. Velen isn't the most serious server when it comes to progression however. >_>
Seriously though it is a lot harder. There's lots of casual QQ on the Blizzard forums about how people are going into the instance and wiping on trash mobs.Compared to Naxx it's quite a leap in difficulty.
I won't even pug Vault anymore, Emalon requires people who can actually do as much dps in a raid as they'd like tho brag about in Trade chat. I argued with some guy who accused us of being "gear snobs" for kicking him out of Vault because of his crappy gear and dps, he didn't understand that Emalon is a dps race and he was part of a problem that was causing us to wipe.
I'm in a guild of RL friends, we do reasonably well. Sub-3 hour Heroic naxx clears, quick Malys. Us officers have trained our cats but we've got too many facerollers hanging around right now for a good 25 Ulduar group, so we've only done the first two bosses in heroic mode. Kind of a wierd time in our guild, lots of changes recently.
This is my armory. I'm pretty well geared on this toon, just one piece of T7 left (head), the rest is 7.5 with the best sword and offhand in the game before the end of Ulduar. And I just got my first piece from Ulduar tonight.

And yes, Ulduar is a lot harder than Wrath Naxx. I'd compare it to the original Naxx for difficulty; the bosses are harder than Karazhan's when you were still in T3/4 but not as hard as Sunwell. I'm just comparing the first four bosses in ten man, it's all we've done so far this week in two nights. Lots of wipes, even if you know what to do. No straight tank and spanks, lots of movement, healing intensive. The entire first areas and boss is vehicle based, it's fun.There's actually some *gasp* crowd control. The trash can actually hurt you. People have to do specific things and if all someone is worried about is their dps then they will fail. Way more variety than "round em up and aoe/move when you get the debuff" Naxx.