I second F4U. Sometimes it's not the approach but the missed approach instructions or the DP that gets you - some of these are very complicated. Add in an engine failure on a twin and you've got a hand full.
Here's my list of hard approaches:
The monster of the east - anything at ROA but especially the LDA.
A subtle little killer - Clearview, MD (2W2) in anything faster than a C-172 - go ahead, fly over the VOR, get your needle re-established and get to altitude.
Any NDB approach where the NDB is not on the field and you have to cross over and re-establish. York, PA used to be a pain until they relocated the NDB onto the field. Winchester, VA (OKV) still has the NDB off site, but its fairly easy. Try it with wind set at 250 at 20 knots and see how easy it is to fly! (By the way, I'm talking about flying the NDB needle, none of this pansy flying a GPS overlay stuff!) LWB, WV has one too!