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.
In the original game, the panthers and the yellow-skinned Bloga mutants are hard to hit, even when ducking. There's also the firemen that split into four upon death.
Rolling Thunder 3 had female maskers who attack with kicks and backflip through your shots. Fortunately, they only appear in one level.
Goddamned Bats: All three games have them. They're not as bad in the third game, since you can fire at an angle upward with your pistol. In the other games though...
Good Bad Bug: In the original arcade game, you can walk away a certain distance from an ammo closet and return to it to get more ammo. This is helpful in the case of the machine gun, which makes it a Game Breaker. Just don't waste too much time, though...
Serial Numbers Filed Off: Capcom's Code Name: Viper was basically a ripoff of the original Rolling Thunder, but had you rescuing hostages like in the first Shinobi game.
Maboo in the NES version of Rolling Thunder. It's useless bringing the machine gun because Mooks will drop down constantly in the final area until you run out of ammo. Only when you get back with the pistol will Maboo appear to fight you. The boss fight gets better as he tries to kill you by shooting fireballs at you. It's a bit like Playing Tennis with the Boss, except you shoot through the fireballs and nail Maboo while doing so. It requires timing, so expect a tougher fight than in the arcade version.
Gimdo from the Genesis version of Rolling Thunder 2 harder due to him having two phases instead of one, and he takes more damage on the hard mode of the game. What's worse is that if you die, you'll restart from the checkpoint, and you won't have a lot of ammo for his second phase, meaning you'll be firing trying to fire shots while getting past his laser which blocks them.
Dread in the last level of Rolling Thunder 3. His first form isn't bad, but his second form has him firing lasers which sometimes bounce off of the ceiling.