Here's a problem that, as I recently realized, looks actually harder in undirected graphs than directed ones.
Suppose you have a graph with positive and negative edge weights, and you are asked to detect a negative weight cycle. There is a scaling algorithm for this problem for directed graphs by Goldberg'93 (A. V. Goldberg. 1993. Scaling algorithms for the shortest paths problem. In SODA '93.) running in O($m\sqrt{n}\log C$) time where $m$ is the number of edges, $n$ the number of vertices and $C$ the largest absolute value of an edge weight.
In contrast, the same problem in undirected graphs has much worse algorithms. To my knowledge, the best known is by Gabow'83 (H. N. Gabow. 1983. An efficient reduction technique for degree-constrained subgraph and bidirected network flow problems. In STOC '83. ) and runs in O(min($n^3, mn\log n$)) time. There's also an approach using T-joins which gives the same runtime, I don't remember where I saw it however.
The negative cycle problem is crucial in the design of single source shortest paths (SSSP) algorithms and it is not surprising that the best running times for SSSP in directed and undirected graphs with arbitrary weights have the same runtimes-- O($m\sqrt{n}\log C$) and O(min($n^3, mn\log n$)) respectively.