My "favourites" in the Russian language:
1. Verb aspect - arcane black magic that nobody seems to be able to explain and at least doubles the amount of vocabulary to learn.
2. Verbs of motion - It's doing my head in to go anywhere in Russian, since there seem to be a gazillion ways of getting a single verb wrong. I better just stay home.
3. Cases - Having the potential to make 3-20 additional mistakes in a single sentence and getting confused about who killed whom with what.
4. Participles - Why don't you just accumulate a gazillion verbs in one sentence to make them even harder to understand ...!
5. Word order - It's even more insane than German word order and that's saying quite something.
Oh wait, that's pretty much all of Russian grammar.