What is the most difficult feature to explain evolutionarily?
To answer your question directly, there are a number of examples which creationists like to bring up, such as woodpecker's tongue which is wrapped around its brain or the archer fish which shoots down insects with water and has to adjust it's aim for refractive difference between water and air. These features supposedly 'couldn't have evolved' but of course one's disbelief doesn't make anything true or untrue. This is what Dawkins calls 'argument from personal incredulity'. 

Let me also point out a few evolutionary counter arguments to such reasoning.

The presence of selection radically changes what is 'likely' or 'possible' to happen. For example, you wouldn't argue that it's highly improbable that the stones on the beach are ordered by size, if you know that the action of waves orders them in a certain way. Dawkins' weasel (http://en.wikipedia.org/wiki/Weasel_program) also demonstrates this principle. 

Another Dawkins' argument is that, contrary to what creationists claim, complex features such as eye don't have to be completely functional to be useful. In the early history of life, when no organism had eyes, any simple system which could distinguish light from darkness could provide a huge advantage to its owner. The simple system can then evolve to a more complex one to provide a competitive edge etc.

Finally, evolution happens over time scales we cannot grasp. We don't have a good feeling of what billions of years of small changes which are selected for can add up to.