What are the toughest thoughts to 'catch'?
While BonnWarapol's five higher fetters would be the most difficult to eradicate for all non-arahants, for a beginner in meditation, the hardest to eradicate would be the five hindrances (pañca nīvaraṇāni):


Sensual desire (kāmacchanda)
Ill-will (vyāpāda)
Sloth and torpor (thīna-middha)
Restlessness and remorse (uddhacca-kukkucca)
Sceptical doubt (vicikicchā)


The commentaries by Ven. Nyanaponika Thera here or by Ven. Ajahn Brahm here, would provide more information on these. This video by Ven. Yuttadhammo Bhikkhu would also be helpful.