First time I ever played the game I found the Guard Scorpion fairly hard. Don't laugh! I never took note of Clouds warning and always got raped by its Tail Laser
But more properly would definitly be the Materia Keeper. That guy is a nightmare if you don't know what your doing. Simply set-up Big Guard, hit it with Ice 2 magic and Limit Breaks, healing and recasting Big Guard when necassary and watch the bugger go down! (Not forgetting to learn Trine either

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Other notable mentions are Godo (especially at lower levels), Demons Gate can be abit of a basterd at times, and even Dyne if you haven't been using Barret all too much (his two attacks in one turn can really screw you over if your weak!). Other than that its not really much else.