If the transmission is loaded up, (ie the car may be on a slope with the handbrake off and the weight of the car being held on the parking pawl alone) then it can be difficult to move the lever out of PARK. The way to avoid this in most cases is to select gear before releasing the handbrake, which is what you should be doing anyway really.
As above; also, it's helpful when the car's stopped to put it in neutral, handbrake on, release footbrake and allow any slack in transmission etc to be taken up and then put in park; something I've always done with any auto or when leaving a car in gear.
Good advice from the above guys. Develop the habit of shutting the engine down, foot firmly on the brake pedal as you do this, apply the handbrake...now place the trans lever into Park. Similarly if on an incline start the engine, have your foot on the brake pedal, then take it out of Park, then release the handbrake with your foot on the brake pedal. This ensures you don't 'load' the parking pawl or break something related to it.
What you don't want to happen is shear the Parking Pawl off or break something internally (it's been done) because you've either forced it into or out of Park. The mechanism will take the full load/weight of the car on an incline...so the forces can be extreme!
I forgot to add that I'm quite conscious of this issue because a colleague of mine did manage to break off a 'park' pawl back in the day by ramming it into Park before the car had come to a halt. No idea of cost etc as it was a company car but he didn't do it again.