Demonic Spiders: Lopers are crazy fast and can take a lot of hits. It's almost impossible to kill one without losing at least a third of your health/armor.
Game Breaker: The Sten. It's silenced, fully automatic, quite accurate, does more damage per bullet than the Thompson and the MP-40, which uses the same type of 9mm ammo, said 9mm ammo is literally the most plentiful in the game, and some versions of the game give it a rate of fire faster than the MP40's. As long as it's fired in bursts to avoid the overheating drawback, it's one of the deadliest weapons against any kind of enemy save for the Lopers and the super soldiers.
Scrappy Level: Both infiltration levels, but the winner is the first one. It takes place in daylight.
That One Boss: If you already have trouble fighting the Proto-Soldier, than you'll be in hell once you fight the Ubersoldat. The Tesla Gun prevents you from ever moving away to safety, draining your health away unless you're lucky enough to find a barrier, forcing you to take potshots. Even worse is that enemies will arrive taking potshots at you with their lugers as you'll be desperate to run for armor and health. The cutscene even mentions that BJ is beaten pretty badly after the battle.