It changes with whoever is learning the language, but my students are having massive troubles with "th" and "ng", because those sounds don't exist in their language. I still think R is difficult because we English speakers simply have not agreed on how it should be pronounced.

One is "th" in "thin" (unvoiced dental fricative) and also as in "the"and "this" (voiced dental fricative) as a non English speaker finds "th" hard to pronounce.

RR as in perro

Both lithuanian and russian can't find any dificult sounds. :)

I think the most difficult sound in Russian is rolled [r]. Commonly, it's the last sound that little children learn to pronounce. Sometimes there're funny cases with the letter "Я" because it's also a personal pronoun "I". One of them is described in L.Panteleev's story about a little girl learning the ABC: (father): And this is the letter "ya". (≈ And this is the letter "I") (little girl): The letter "ty"? (≈ The letter "you"?) (father): No, not "ya" but the letter "ya". (≈ No, not "I" but the letter "I") You can meet another confusing situation when teaching someone a foreign language with Roman alphabet. A letter "Я" is like a mirrored letter "R".