It depends on your mother tongue and which sounds your phonemic chart contains and lacks. For example, I teach Englih to Spanish students and they struggle with voiced sounds (for example, treasure, very, freezes, judge...)

In Russian, I struggle with Ы  and р  in particular.

This is cheating, but even as a native speaker the sh sound sucks saying. Remember the old tongue twister "She sells sea shells by the sea shore"? Unless I slow down and really think about it I butcher it over and over.

Yeah, they're quite different. Russian consonants are so cute :) 

Sounds in spoken English are much softer than in Russian. I mean consonants.