It can mean that the question is difficult to answer, but it can also mean that the person who asked the question is very intelligent. In other words, if I asked a question that reveals some deeper understanding of the topic, it's a good question.

Many people always start with "That's a good question" when being asked about something. In that case, it could mean absolutely nothing.

It really all depends on the context. I often say 'that's a good or great question' when the speaker has a put a lot of thought into what they have said or are asking and as result, they will get a really thoughtful and reflective response back. For me, it doesn't necessarily mean the question is too difficult to explain or answer.

Luke pretty much answered it. I just wanted to add that tone of voice almost always determines whether we mean "difficult to answer" or "very intelligently composed." As you probably know already, English can be a very sarcastic language at times, so we often don't say what we literally mean in casual conversations.