Seriously? The 4th is usually considered one of the easiest to 'get'. Think of it as a 'neo-classical' reaction to the sprawling 3rd symphony. The last movement, a child's idea of what heaven is like (or wishes for it to be), was originally going to be the final movement to the 3rd symphony. Thankfully, Mahler thought better of that idea.
The first movement makes me think of winter games: sledding, skating, throwing snow balls - that sort of thing. The sinister climax is a pre-echo of the 5th symphony's opening fanfare. But all is well that ends well. This is just sort of a standard sonata form movement, with a big contrast in style between the first and second 'subjects' (main themes). I do think it's extended a tad too long, here and there. But it's still pretty good by any means.
The second movement is all one big contrast between death's fiddle playing (trying to coax up more business), and the more naive and 'heavenly' moments of the various Trio sections. I like this movement a lot, but also think that it's often times played too slowly for its own good. It should have a slight sinister quality to it, which would make the humorous feel to its ending all the more effective.
The slow movement is there because, well, all great symphonies have to have a slow movement. In my opinion, this is a really good one. I like the passage that builds up speed, just shortly before the movement's main climax. I'm told that Mahler did consider adding trombones to help reinforce the 'pedal' (bass notes) at the climax of the slow movement. But I think the crescendo he puts in the unison horn part, located just before the climax fades out, is quite effective.
For the finale, be sure to follow the text, and think of it as being sung by a youth. Most of all, revel in the orchestral outbursts between the various vocal stanzas. Try listening to this movement several times on its own.
You're not alone, in that people were confused by this symphony in Mahler's own time. They were expecting something grandiose, of course. Mahler had already done that, and was soon to move on to his middle period style. Just know that Mahler thought very highly of this symphony himself.
