Any roaming legendary. The only one I caught was Latias in Ruby, the others I either gave up on or accidentally killed.
Mewtwo was also hard. I'd usually get him down to red and throw millions of ultra balls to the point he used struggle and killed himself with recoil damage. -_-
they are difficult but if you have a fast gengar with mean look (= a move that your opponent can't run away) then they can't run away and you can catch them into the night with dusk balls. it's not so difficult ;P
Shadow Lugia in Pokemon EX: Gale of Darkness. I used a quick ball, (Or whatever it was called...Pokemon Ex was for Gamecube) reduced lugia's Hp to red...And it knocked itself out. Due to that, i couldn't reduce it's HP to more than a quarter without it comitting Pokemaniacal suicide, and timer balls, (Which happened to be the only good ball in that particular game), were useless... ~Thuran