These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Game Breaker: Ballista towers. They're tougher than guardhouses, are capable of dealing actual damage with their bolts, don't increase in cost like guardhouses do, and also don't require research to get working. It's practically necessary to form a perimeter of these in harder maps, and is one of the reasons why you'll want to choose dwarves nine times out of ten.
The issue is fixed in the sequel so they are no longer Game Breakers. The flavor text of the new dwarven towers even lampshades this, saying about how in old times, dwarven ballista were considered the most cost-effective means of defending a kingdom.
In general, balancing of the mutually exclusive factions is really skewed, with one being a Game Breaker and the others being average. Oddly, it usually isn't due to the immediate benefits (such as the heroes), but due to the perks that come with the faction: For example, while dwarves are pretty good in general, but on their own, mostly balanced with the other races...except for the fact that they're the only way to get ballista towers, mentioned above. Same thing with Dauros/Agrela vs. Fervus/Krypta; nine times out of ten, you'll be picking the former, for no other reason than because paladins are vastly superior to warriors of discord, as mentioned above, and the heal/resurrection spells are cheaper.
Trolls, who can regenerate, spawn from nowhere and have a tendency to attack your most valuable and fragile buildings, stealing your gold, wiping out your guards and hitting heavy with high resistance to boot.
Medusae are this for wizards, as they have the highest magical resistance of normal monsters (90%), making them Nigh Invulnerable to any spells. Incidentally, this means you can't use direct damage spells against them, either.
Taken to a frustrating degree in the sequel. Goddamn sewer rats and ratmen who relentlessly attack peasant houses, and should just one of your heroes die, a graveyard will appear, and before long, your kingdom will be plagued by undead zombie warriors. Oh, and you still have to complete the quest you're on, despite these annoyances. You practically have to build towers near those sewer entrances and graveyards to keep them from disrupting your economy.
In the original, strangleweeds and giant spiders. They do little damage, but their poisonous attacks spell death for any neophyte hero lacking healing potions.
The original game also has swarms of goblins, which, whilst their melee and archer units aren't particularly dangerous, even in numbers and to most low level heroes (though the expansion pack does give them a more powerful melee unit that operates like a fast, gimped minotaur), their PRIESTS (which cast magical swarms of stinging insects) are another matter, well able to run-up severe damage on most hero types if they are not killed quickly due to most heroes having 0 magic resistance in single player (in multi-player there is a minimum resistance of 30 on all heroes). In large numbers, they border on Demonic Spiders.
Most Annoying Sound: Pretty much every alert that comes out of your Number Two's mouth will eventually come to set your teeth on edge, Sean Connery impression notwithstanding. "Majesty! The Palace is UNDER SIEGE!"
"Your Highness, if our kingdom is to prosper, it needs more heroes." He says that about 10 seconds in. *twitch*
Although, to be fair, he only says this when you have zero heroes. Even a single gnome is enough to prevent him saying this, though it is something you're likely to hear once or even twice if you decide not to use gnomes (as the guilds can take long enough to build that an in-game day rolls by, and he says this at the end of every in-game day at which point you have zero heroes). Far more annoying are the alerts for building completion, upgrades and research. Hearing "Your Highness, we've improved the guardhouse!" four or five times in a row can be EXTREMELY trying on your nerves...
In Master of the Arcane, the Goblin Archers: "Best archers in the weerrrrld!".
Apart from the above, all heroes will proclaim some class-appropriate line (e.g. the Paladin's "I AM ENLIGHTENED!") across the entire map when they reach level 10. This is always excellent to hear, because it means that they're equal to most dangers and you can stop hovering over them with temple spells when they take them on. Particularly if it's a wizard or one of your other fragile heroes.
Narm: The Warriors and the Wizards ("I'm MELTING!")
The Healers are an Aversion. A lot of their lines are actually very serious. This can make for some rather disturbing Mood Whiplash after hearing the other heroes' ridiculous voice clips.
Nightmare Fuel: In addition to being a rather disturbing Body Horror, the Abomination can literally be this for your heroes; two of the spells it casts make heroes flee in terror, and in the ending blurb, your advisor says that the heroes who fought it suffer from nightmares and hallucinations.
Tear Jerker: Some of the heroes' death lines are hammy with a touch of Gallows Humor. Others are just heartrending. Viz:
Paladin: Evil... has won.... Warrior: My service—ends! Ranger: I join the wild spirits.... Gnome: But I'm just... a gnome....
The Magma Bomb spell is perhaps a more typical example, though one you're less likely to see, as it's only used by bosses. Each casting sends out three projectiles that deal the most damage out of any spell in the game. This is one of the reasons the black phantoms are so dangerous (see below).
Vendral is a dragon turned Up to Eleven in power and ability. He can't even be defeated for the first two of his attacks in his quest. Gold Edition makes his quest even harder by changing his second attack from 7.5 to 5 days in.
The black phantoms are Those Three Bosses. They're lightning fast, immune to magic, and spam devastating spells at any hero foolish enough to come near them (both of which are That One Attack). Oh, and you have to deal with three at once. Ballista towers are the only effective way to deal with them. Fortunately, you don't have to actually fight them except in The Day of Reckoning.
That One Quest: Legendary Heroes, dear gods, Legendary Heroes. In many ways it's actually more difficult than the Master quests it unlocks; sure, they're difficult, but they don't have a time limit, don't throw brick walls in your face constantly, and aren't filled to the brim with Fake Difficulty.