Yes, some sins are worse than others. For example, blasphemy against the Holy Spirit is an unforgivable sin, where sinning against Jesus is forgivable (Matthew 12:32). Also, Jesus said to Pilate in John 19:11, " . . . he who delivered Me up to you has the greater sin.” Finally, Heb. 10:29 says, "How much severer punishment do you think he will deserve who has trampled under foot the Son of God, and has regarded as unclean the blood of the covenant by which he was sanctified, and has insulted the Spirit of grace?" In each of these instances, sin has degrees of punishment.
The Old Testament recognized different sacrifices for different sins. If all sins are equal, then different sacrifices would not be necessary. Instead, the Jews would only have needed one sacrifice to cover everything.
However, all sin is bad; and any sin, big or little, is damnable. When we sin, we sin against an infinitely holy God. Therefore, our offense has an infinite consequence. The consequence is called damnation, which is eternal separation from God (2 Thessalonians 1:9).