The human Captain Mar-Vell from Secret Invasion.
From the many cases that have been purchased between my player group, and the multiple chases pulled, I think I recall only ever seeing 1 of that fig... weird.
Ooh, and I've wanted to get a Vet Pyro from either IC or Universe... used to have one, don't know what happened to him, and no one I know has one... sucks, as I don't ebay and I've never traded online.

I've never had any trouble getting set pieces (CUR) since Avengers came out. It should go without saying that chase pieces are hard to get and some SRs can be troublesome when they're particularly powerful. I guess that leaves LEs as the most annoying to get since they're accessible but just hard enough to find that they'll drive you wild. My list of most annoying to acquire:

SR: Gamora - "Deadliest woman in the universe" indeed. No one trades these w/o a spare.

LE: Sue Storm - I looked high and low for this fig and eventually had to settle for one w/o the CHA card.

Chase: Lampost Batman - Demand vs cost for what is essentially Batman w/o the fan goggles. Got one w/o CHA card cheap.

I can get both Hecate and Howard (have Howard in hand).

I agree on the Multiple Men. A lot of the generics from the older sets are hard to find now, Hellfire Guards and the like. I consider myself lucky to have gotten a good number of the Supernova Skrulls.

On the subject of skrulls and slightly going off topic (as the OP was curious which REVs and CURs we were having trouble getting, not Uniques/SRs/LEs/Chases, which go without saying), the old LEs don't exist in my area. I need a Raksor and a Paibok to complete my Skrull collection.

I have a lot of what people are saying they have such a hard time trying to get, and I feel bad because I only have one of any of them, and they are parts of teams that I collect. HoT Cap (for my Avengers, and I did have a hard time getting him), Oots Batman (for my JLI, not a problem once I found one, but finding it was surprisingly difficult!).

Also off-topic slightly, U Kilowog is a problem to find around these parts as well. Finally got a broken one yesterday and still had to give up a bunch of stuff.

Btw, Chases aren't too hard to acquire as long as you accept their rarity and, therefor, their value. Currently, I own seven chase figures (3 zombies, Nekron, both Skrulls and SinBats) and two more (Wizard Shazam and a second SinBats) have passed through my hands. I traded a lot to get each one (other than Zombie Hulk and Nekron, who I pulled). It sucked, but it had to be done for me to get them.

I can lay hands on Hellfire Guards as well for any who need them.

I might be able to get the Vet Pyro if you are interested.

Funny, the only Vet Pyro I pulled was one with an MOE TA (misprint). Not sure whether I still have it.

The Arthur Curry Judge LE from Justice League. I spent about a year and a half trying to get him until I found someone who was willing to trade me for him in a non-outrageous trade.

For me it was Avengers Grim Reaper
No one had an extra to trade for the longest time. He stands out in my memory because of it.

Oh, on that note, LE Leonard Samson and LE Bruce Banner (IC) are on the list of "need to get these before I die" pieces.

i feel you on the uniques. took me a while to get both of them, but i got both for 20 bucks! worth the wait for suck a good price!

From some of the comments on this thread, it seems that some people have forgotten or are unaware of how rarity changed around the time of Armor Wars. When Wizkids went from a Unique every 6 boosters to a Unique every 3 boosters from Armor Wars to Origin, it resulted in the Vet rare pieces becoming more rare than the Unique pieces. It is better to think of those Vets as the SRs in those sets rather than the U's. Just tell yourself you're getting the SR in the set instead of a R Vet. I would suspect that this was one of the big reasons they changed the distribution in Avengers.

I knew HoT Cap was hard to come by, but not that hard.

I've been modding my spares.

Crisis Sinestro, he has to be the highest priced SR on Ebay.

Of non-U/LE/SR, the figure that took me the longest to acquire was the (Experienced? perhaps the Vet?) Vulture from Fantastic Forces.

I blame several factors:

1) 3-figure boosters, with the odd rarity scheme in the smaller set
2) cherry-picking potential meant that some jerk usually bought 9-11 boosters from a store, reducing the pool of available figures.
3) The figure was non-appreciated, so nobody thought to have it available for trade.

I'm always puzzled by high asking prices for figures that (a) aren't particularly good and (b) unusually hard to use on both comic and min-max teams. The mos flamboyant example in its day was FF Nimrod. There have been others, but that's the piece that it took me a year waiting for trade value to come to reality.