Many of the Level 3 and above units, but the literal Giant Spider takes the cake, having many hit points, a slowing distance attack and a really powerful bite which inflicts poison to boot. The Giant Spider is so strong, it can kill Delfador within two turns if the player is unlucky.
Many Prestige Class enemy units can be this as well, and in that category special mention must go to the Horseman prestige class, the lancer. While largely useless for the player due to how in order to get them you have to hire, train, and then stunt the growth of an expensive and high-potential horseman, in the hands of an enemy who can recruit them directly they're absolute nightmares that almost no unit, no matter how high their level, is guaranteed to survive so much as a single round of combat with. Heir To The Throne's Test of the Clans scenario turns into a living hell thanks to these things.
Ear Worm: A huge portion of the game's soundtrack. This can be expected with compositions with a highly emphatic rhythm like The Dangerous Symphony, but even things like the calmer portions of The King Is Dead or Breaking the Chains can worm their way into your head and come back at unexpected moments (when you haven't played the game for days).
The elf lord Kalenz probably qualifies. Initially, he appeared as a supporting (albeit important) character in Heir to the Throne. Later, he became the protagonist of his own campaign, The Legend of Wesmere, which is so far the only mainline campaign to have a multiplayer version. And he also gets a significant role in Delfador's Memoirs. This makes him probably the only character to appear in three (four if you count the multiplayer one individually) mainline campaigns.
Version 1.9.5 of The Tale Of Two Brothers has him mentioned. The player character becomes his pay-for escort during the epilogue. That makes four if this version of the mainline campaign is committed into the release builds.
Grogg the troll is a (theoretically) completely optional party member in Under the Burning Suns. Unlike the other optional party member, he is beloved enough by the fanbase that he even got his own spin-off campaign.
Under the Burning Suns among the mainline campaigns, despite the fact that it is arguably the most difficult of the campaigns and completely out of context. Reasons for this include an intricate plot with interesting and well-written characters, fantastic scenarios that really demand tactical measures from the players and actually feel like a proper story instead of a string of skirmishes and a great setting that actually feels threatening. Yechnagoth is also frequently considered the best-written of all Big Bads.
Evil Is Sexy: Asheviere. The add-on Ooze Campaign even has a custom unit with Asheviere's sprite whose description is simply "[Character's name] is a pretty young woman with an unsettling fascination for death", pretty enough for a paladin to fall in love with her despite how evil she is.
Game-Breaker: The multiplayer factions are mostly well balanced, with the exception of the still-in-development Khalifate. They can tear through the entire Drake faction with nothing but the basic Jundi and Rami; conversely, they get overwhelmed easily by the Loyalists' Spearmen and the Northerners' trolls.
Goddamned Bats: Any highly evasive unit has elements of this, but the actual bats (high movement, high evasion, and draining attacks) fall solidly under this trope as fast, obnoxious, and deceptively hard to kill.
Saurian skirmishers/ambushers in any appreciable quantity are certainly this. Saurians are highly evasive in difficult terrain like forests and swamps, fast, ignore zones of control, have ranged and melee attacks that do more than tickle, and are cheap enough to recruit mobs of, at least for their faction. Fighting them, especially in some campaign scenarios where the AI can buy leveled versions of them directly, can be compared to juggling fetuses: slippery, unpleasant, and more likely to get blood everywhere than accomplish anything worthwhile.
Orcish Assassins also come to mind. The combination of high evasion in almost every terrain, multiple low-damage but poisoned ranged strikes in a single volley, and marksmanship on the attack so they can hit even other evasive units quite reliably makes them highly annoying and distracting, and even trying to deal with them via magical or marksman attacks in turn is a pain...because even if they finally do die to one of those they'll probably still have poisoned their vanquisher one last time first.
Ghosts have low health and damage, but also are fast in almost every terrain, highly resistant to physical damage, and heal themselves when they hit in melee. Without a good source of fire or arcane damage, killing them is infuriatingly slow. Their advancements are worse; Wraiths are similar except that they hit much harder, whereas Shadows lose their draining attack in exchange for the ability to become invisible at night and ignore Zones of Control, meaning there's no way to stop them slipping behind your lines and harassing your more vulnerable units.
Idiot Plot: In Heir To The Throne, after Konrad defeats Li'sar the first time, he not only lets her go, he even asks her for directions. Of course, she leads him directly into an undead-polluted area.
Obvious Judas: In Descent into Darkness, Darken Volk. His name is Darken, he convinces Malin that his village will welcome him back (even though he's a necromancer, whom the people of Wesnoth abhor) and disappears for a while on some unexplained business.
Most notably Northern Rebirth: The first four or so chapters are absurdly hard even on the easiest difficulty level, while the latter half of the campaign is pretty easy, just extremely annoying, because every single chapter throws a seemingly endless wave of orcs and trolls at you that take virtually forever to kill off. The very generic plot and characters make it just even more trying to play through.
Delfador's Memoirs is similarly bad, if for slightly different reasons: Unlike virtually every other campaign, it is completely impossible to plan ahead in this campaign, because you have no way of knowing what units you play with on the next map, since the chaotic plot of the game arbitrarily gives and takes units that you have to assume you only get to play with for a single chapter before they might be removed from your unit list again, only to show up in your recall list a couple dozen chapters later.
'Evacuation' from Eastern Invasion. You start out surrounded, and have to choose between getting your heroes to safety at the cost of most of your army or fighting three large groups of max-level trolls.
The final scenario of the Dead Waters campaign. Mainly because the three enemy bases never seem to run out of cash while you can barely hire two waves of troops to your aid.
The Eastern Invasion has "Lake Vrug" as well, where the map is designed to screw you over. If you take the obvious approach and look for the enemy keep by following the road, all you'll find is a decoy. The actual enemy base is located on the other side of a thick mountain range, meaning your foot units are slowed to a crawl and your mounted units have to be left behind. You're stuck dragging your army one or two hexes at a time across the mountains and hoping you can kill the enemy leader before you run out of turns.
"Costly Revenge" from Legend of Wesmere. Not only do you have to fight large numbers of saurians in their favoured terrain, you're saddled with two nasty handicaps (you don't have access to your Shaman-line units, and your troops destroy any villages they capture) leaving you with no good sources of healing.
The Scrappy: The heroine of the fan-made, downloadable campaign "Love to Death". She even murders some lizardmen in cold blood only because they were worshiping a Death Goddess (but lacked the power of creating undead.)
Unwinnable by Insanity: In the first scenario of The South Guard, the game drops clear hints that you're supposed to meet Sir Gerrick before defeating the enemy leader. If you do manage to win the battle without finding him, later scenarios that depend on him become impossible.