1) Metal Steamtank (I built four of these. Three are in my Imperial garage)
2) Old Wood Elf Green Dragon (I learned to pin and use two-part epoxy on this beast back in '97)
3) Hurricanum/Luminark, War Altar
The first two mostly for reasons that others stated above, and the third, well, it was just so damn time consuming. The wagons were the only kits I can think of that required that much painting BEFORE final assembly, plus pins. It's just got so many fiddly little parts and detail, plus they're too expensive to half-ass. And after another five hours spent on the Hurricanum (bought in April) this week it's STILL not finished!
4) Tie! Valten(2nd Version), and the 6th Edition Ludwig Scwartzhelm-both just didn't fit together...right. At least in metal. A lot of cleanup, and neither took well to pins or putty. Maybe I got bad casts.