Demonic Spiders: Star Troopers. They hit fast and hit hard, have an annoying tendency to play dead, and even if you know one is playing dead, you still have to camp out over their body and wait for them to get up before you can kill them for good.
High-Energy Plasma Aliens. They're slow as hell, but they fire out a rapid barrage of energy projectiles that will absolutely wreck you, and frequently respawn from nearby giant electrical outlets, sometimes the instant they're killed.
Goddamned Bats: The Electro Spheres, which can drain you of a ton of health if they collide with you for anything longer than a split second. "Electrospheres can be a nuisance" indeed.
The hostile Biotechs. There are very few methods to discern a hostile Biotech from an informant, so it's very easy for them to get in a surprise hit on you. Even better are the ones that wait for you to talk to them and then shoot you point blank in the face for a large amount of damage.
Dr. Goldfire himself. He'll randomly teleport into any level, even when you've cleared out all the enemies, and does a surprising amount of damage. On top of that, he's even fought as a secondary boss at the end of each episode, with a ton more health and being Immune to Flinching (plus he respawns whenever you enter the room, so you'll have to deal with him multiple times if you're trying to 100% complete the floor or try to get to the 10th floor).
Aliens of Gold
Breather Level: The first three levels of Episode 4 are all utterly brutal and unforgiving. In comparison, the fourth one is a cakewalk full of power-ups and lots and lots of treasure.
That One Level: Episode 4 Level 2, which forces you to run through multiple rooms with the aforementioned outlets spewing out obscene amounts of Plasma Aliens. One room even has an informant wandering around for no good reason and getting in the way.
Narm: One of the enemy death moans sounds less like they're turning into Ludicrous Gibs or in pain, and more like they just smelled something real rancid.