Does there exist a problem that is hard to do in parallel? I am looking for a workload which is hard to paralellise/distribute between multiple machines. 

For example, integer factorization does not go 10 times faster if you have 10 machines to split the load, but is there a better example?
Linear programming is P-complete with respect to either logspace or NC reductions (I'm not sure which).  As such, it's unlikely to be efficiently parallelizable because, for either kind of reductions, that would imply that P$\,=\,$NC. It's generally believed that P$\,\neq\,$NC.

There's more information on Wikipedia's P-completeness page.