What do the verses in Luke 5:20-25 teach us? They have always puzzled me and I fail to understand what is what.  

Luke 5:20-23


  When Jesus saw their faith he said, “Friend, your sins are forgiven.” Then the experts in the law and the Pharisees began to think to themselves, “Who is this man who is uttering blasphemies? Who can forgive sins but God alone?” When Jesus perceived their hostile thoughts, he said to them, “Why are you raising objections within yourselves? Which is easier, to say, ‘Your sins are forgiven,’ or to say, ‘Stand up and walk’?   


Knowing that Jesus is Son of God: what is the difference between these two sentences, which prompted Jesus to say them? Which statement is the easier to say?  

It is becomes more puzzling when Jesus says the second sentence.

Luke 5:24-25


  But so that you may know that the Son of Man has authority on earth to forgive sins” – he said to the paralyzed man – “I tell you, stand up, take your stretcher and go home.” Immediately he stood up before them, picked up the stretcher he had been lying on, and went home, glorifying God.  


It is not clear whether Jesus said the easier one or the tougher one. Why He did not say the first: that is, “your sins are forgiven?”  

Is it that this sentence was easier to say?
Jesus is here asking the Pharisees a rhetorical question, that is - what would be easier for him to say if he was not God. The answer is simple - it is easier for a mere man to say "Your sins are forgiven", because there is no outward immediate manifestation. It is much more difficult to say "Stand up and walk", because it would be readily apparent that Jesus was not able to back up his power, were he only a man.

As John Gill writes:


  Neither of them could be said by a mere man, with effect, so as that sins would be really remitted on so saying; or that a man sick of a palsy, by such a word speaking, would be able to stand upon his feet and walk; but both of them were equally easy to him, that is truly God; and he that could say the one effectually, could also say the other: or in other words, he that could cure a man of a palsy with a word speaking, ought not to be charged with blasphemy, for taking upon him to forgive sin: our Lord meant, by putting this question, and acting upon it, to prove himself to be God, and to remove the imputation of blasphemy from him


When Jesus says the second part, that is:


  But so that you may know that the Son of Man has authority on earth to forgive sins” – he said to the paralyzed man – “I tell you, stand up, take your stretcher and go home.”


He is demonstrating to the Pharisees that he is who he says he is, that he has the power to forgive and the power to heal.