Mephits. Especially when soloing.
They always manage to gang up on you and use their infinite acid/rain/magma/fire/etc. stuff to get through all your defenses and make life miserable. That they have a low thac0 and low AC is especially bad when you aren't soloing a fighter. And there are so many of them! Curses!
Mind flayers, dragons, and vampires are easy. It's all strategy. It's swarms of little guys that are at least 50% immune to all of your area-damage spells that are irritating, especially when you aren't level 45 and a killing machine. No matter what you cast at them, at least one is going to be 100% immune to it.