Mine would have to be trying to catch the "evil" gambling monkey in UCI. My first time through the game I caught him with no difficulty. Playing through again though, every time I get close to finishing him, he runs away.
Mine would have to be all the missions in UCI and UCII*where you have to protect the supplies and*you are surronded by swarms of enemies that are*really close to the supplies and you have a hard time trying to kill them all. Even thought you can use the shadow clones to help it still gets very annoying.*