The boats I don't have issue with - but then, I use superglue on a lot of the smallest, fiddliest sections (especially the front and back seams), and that helps A LOT. The little sails are occasionally problematic, however.
I have issues with the curved CWU walls, for whatever reason.
The cannons make me crazy. I can never get them quite right. I've got 8 done, and I want another 40+ of them!
I finally got smart and got my printer to print them - at least this way I don't get ink all over my hands while I'm messing with 'em.
The top of the Maiden's masts always cause me problems. The railings I haven't had problems with, but they always take extra time (this last Maiden I cut them with a lot of white showing, and just colored it in - the railing is much stronger on this one).
The stables (from VW) are quite fiddly. Cool looking, but fiddly.
S'all I can think of at the moment.