Striking Scorpions-with their mandiblasters, power armor, infiltration abilities and the occasional Wave Serpent. They can usually launch an assault before I've had a chance to kill them, and they are very hard to get rid of.
Reapers? I'm not sure of the unit's name, but the aspect warriors where everyone has, in effect, a missile launcher. Those guys are annoying since they keep my line from advancing.
Wraithlords & Avatars don't scare me. They are too slow to matter during the critical first two turns. Speed is the dangerous thing.