Arachnid brain: Required so much milliput, and so much work with sandpaper and sculpting tools just to get it right. Ugh.
Arachnid Guard Bug, Mantis, Spiders - plastic befits these multi-legged beasties so much more than metal. I lost track of the hours trying to get the superglue, greenstuff, and whatever else I tried to make these things stick - to actually stick, without the legs/heads falling apart. Got there in the end - but they were tough. On the other hand, the Overseer - tres easy (lots of pinning and well supported joints where not pinned).
Old Eldar Avatar was also a nightmare.
Kra'vak capital ships! Argh (I'm looking at you, Superdreadnought, Carriers and Battledreadnought). What a chore! Again, major pinning required.
Eldar Wlord/Warwalker (old versions). Yes, they were slow. Pinning was the way forward. The new versions, on the other hand? Some of the easiest models to build I've had the pleasure to play with.