Are set differences in a sigma algebra? I am confused as to whether or not the difference of two sets (A\B...the elements in set A that aren't in set B).
I think they are. We know that a $\sigma$-field is both a $\pi$ system and a $\lambda$ system. By the definition of a $\lambda$ system, if we have A in the system, then so too $A^c$. We get the same with B and $B^c$ We also get that the intersection of A and B are in the $\sigma$-field by the fact that it is a $\pi$ system.
So, I believe that the set difference of A and B should be in the sigma field. However, I've never heard anyone speak about the set difference of two sets being in the sigma field, only the normal "compliments and countable unions of sets". 
This seems like a good thing to have on hand if you are asked to write out the sigma field of a small discrete$\Omega$ by hand. By using set differences, you could generate the singletons, and then build up from there.

Write $A \setminus B$ as $A \cap B^{c}$.
