I think the worst was a Privateer Press mini. The big guy from the Legion of Everbright. His spines and horns were stuck to my fingers more often than not, and his torso didn't join his lower body too well. This is a rare thing IME for a Privateer Press mini for it to not fit. Warjacks are also a pain, but that's because of the weight of the pieces more than fitting.
The old Vorlon Transports are pretty awful for getting those wings aligned right and to stay put. The shadow scout has a nice flat body in comparison. Yes, Transports specifically, cuz the Destroyers have no wiggle room with those folded wings. Shadow scouts are just beastly.
But I think the worst is going to be my Lucius-pattern Warhound... There's gonna be major gapfilling on that thing (but it'll look oh so gorgeous). Also... I received a Vulture gunship from Forgeworld where one of the tail struts was shorter than the other. Well, they do warn people that their models are intended for experienced modelers...