Can't say I really have any that frustrate the hell out of me. However the most difficult/annoying in my collection are:
MP Rodimus - After you have done it once or twice you get the hang of it. There are a few very good videos on YouTube that help heaps. Still annoying though
FansProject Warbot Defender - those bloody hands! I can never remember how they are supposed to go in chopper mode!
Maketoys Battle Tanker - Just too fiddly.
Classics Red Alert - it's quite hard to get everything to line up in car mode. And for such a sleek looking car it stands out.