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Battle for Wesnoth's bats were always irritating, but a recent upgrade made them harder to hit, and made them living, rather than undead, which allows them to have attributes that make them even better. Not to mention the fact that they replenish their health on successful hits, all of which makes them horrible to kill.
Anything with a Sleep or Berserk staff in the Fire Emblem series.
Hector mode for the 7th game adds Pegi Knights to early chapters, before the player has a method of countering them. One annoying one is in chapter 14. If a Peg Knight gets low on HP she will flee to a fortress to recover health. While a logical move, this is annoying for 3 reasons: 1. you can't reach said fortress, as it is over water. 2.It is a kill all enemies chapter. 3.If you are going for rankings (where you are ranked on, among other things, the number of turns you take), it will add about 4 turns to your total.
Pegasus Knights in general. Due to their high Move stat, they can often fly around your heavy hitters and attack your back row fighters, their higher than normal Resistance makes mages less effective against them, and their high Speed makes them a nightmare for slower characters. Luckily, they're weak to bows, and they have naturally low Defense which means they're guaranteed to die from any attack an archer throws at them (provided the archer hits).
In the Nintendo Wars series, foot soldiers can be spammed for the most part — the worst offender by far is the well-known 'mech rush' tactic, using bazooka infantry known as 'mechs' that have the offensive power of a tank and a third of the cost. Not only are they frighteningly effective in large mobs, but they can function as meatshields for range-fire units and only high-cost units are able to insta-kill them (and being mobbed by three of its compatriots, who cost about as much as the unit you used, will usually cripple it). This is, however, averted in Game Boy Wars 3 (where plenty of units can wipe them out in a single attack, including the 3rd cheapest unit in the entire game).
Dominions 3 has several spells that serve this function. They summon large numbers of 1 Hit Point, fast-moving, hard-to-hit units that do minimal damage but distract enemy armies, who stop to kill them while your troops shoot/cast spells/get into formation. Nothing is more annoying than having your 50-man army swatting dragonflies while arrows rain down on them from the 20 enemy archers who by all rights should be being slaughtered by your infantry.
Trolls from the game Dark Legion aren't very deadly, but have high health, and if facing another unit that is melee only, will wear them down considerably through chip damage. Killing them at long range is just plain annoying shoot-n-scoot...for about three minutes apiece.
Super Robot Wars W has an exceptional number of Super Small-sized units compared to other games, mostly due to the inclusion of Tekkaman Blade and Detonator Orgun, both Metal Hero series with a bent towards Powered Armor. This means lots of very small, very hard-to-hit enemies, such as Sol Tekkamen, Birdmen, and Alien Tekkamen that you usually have to use your Spirit abilities to get rid of. Especially aggravating in the fact that the game freely gives Birdmen to the GaoGaiGar and Full Metal Panic bad guys to fill out their ranks.
The Victory Gundam units from the same game are also frustratingly thick-skinned, with health above 20,000 and stats similar to the the original mooks.
R-Einst in Super Robot Wars: Original Generation 2. Not horrendously strong, but their high Mobility sucks the SP of large units like Daisanger dry. Especially when you're trying to take them out on a time limit - most of the units that would have trouble hitting them would probably still win in a duel if properly armored, but with OG's fondness for "win in 4 turns"-esque Skill Points...
Also from OG2, the damned Gespents that the Shadow-Mirrors brought with them. The ones that require either Focus and just plain luck, throughout the first half of the game and a bit beyond that point, or Focus -and- Strike(spending even more of your precious SP, yay![/sarcasm]), and then just a bit more luck for their return fire, no matter how good a chance to dodge your own unit has. Large amounts of HP(for so early in the game on 'fodder' units), quite decent armor, and some heavy-hitting weapons. This player has ended up cursing enough to peel paint thanks to the amounts of restarting those bastards have caused...
Bartolls that runs on ODE in OG Gaiden might count as well. Basically, these units have a shared morale pool, and killing one of them INCREASES the morale. The more you kill them, the more you'll need to consume your SP to make them get hit by your attack, and for them to miss their attack. You could try to take them out with area attack maps (like the Cyflash), but... well that'll waste SP. As if there's not enough reason to make the ODE and its creator (Juergen) scrappies...
Alpha Gaiden and 3 both feature the Ghost X-9. In the OVA proper, a single Ghost was a pain in the ass for Isamu and Guld and required a touching Heroic Sacrifice (the movie version made the final defeat more intense and the sacrifice way more graphic). In Alpha Gaiden and Alpha 3, the enemies take it one step further and mass-produce the Ghost. And it is a Small sized unit, meaning that unless you use the 100% hit-rate Strike/Lock-On seishin, chances of actually hitting a Ghost are almost non-existant. To top it off, the Ghosts have high accuracy hit rates on top of their insane evasion stat, meaning that the Ghost X-9 is practically the best example of a Boss in Mook Clothing for the Super Robot Wars series.
Phantom Brave featured a mushroom that would rip the weapons out of your hands and throw them Out Of Bounds. Forcing you to return to Phantom Isle to re-equip your units.
The little rebel armies that pop up at random in Rome: Total War. All they do is stand there blocking your roads and trade routes, and they're not even hard to kill. The problem is that they will invariably appear in your heartlands, which you have pacified, and where you consequently don't have armies standing around ready to deal with them.
Monsters of the Mothman species in the Disgaea series can be a nuisance due to their unrestricted movement, a high movement range, multiple status inducing attacks, and starting from 3, a base 50% evasion chance against attackers directly adjacent to them.
Sister Miriam in Sid Meier's Alpha Centauri tends to 1) send huge waves of troops at once and 2) equip them with outdated armaments due to her faction's distrust of advanced scientific research. To a player with a competent research program, any one of them will just nick your defenses. On the other hand, 12 of them in one turn?