For me it's got to be Unity. For some reason I just can't get the hang of her. Even after reading Flamethrower's excellent guide. I wind up with one or two bots in my hand and nothing else. Everytime I manage to play a bot, it gets destroyed almost immediately. Seems I can just never get anything going. She seems to be a real favorite here, but maybe she's just not for me.
Who do you have trouble/no luck playing?
I happen to love playing Unity. However I have zero luck with Nightmist or Chrono Ranger. Both are a high risk/high return character. I guess I play a little to risky for them seeing as how I die so quickly as both of them. It's like the lifespan of a fly I swear.
I have not been able to get as much out of The Scholar as I feel I should. Need to study the card interactions a bit more.
Part of my love for Unity is her flavor text. That being said, I've found it important when playing Unity to be careful to think through the likelihood of any particular bot surving for very long. If they aren't going to survive, no point putting them out.
I find a little selfishness helps w/ NightMist. Don't worry too much about what else you're doing until you've gotten the Amulet or at least some other way to heal.
Visionary. Not so much frustrating as boring. I just really am not a fan of control heroes
I don't get on with Bunker (feels boring to play since once he's set up and in Turret Mode there's not exactly a lot of choices to be made).
Argent Adept feels far to fiddly to be actually fun - it's a lot of jumping through hoops to activate this thing which activates that thing so I can do this thing now and then that triggers another thing, in a convoluted mess.
And Visionary I find a bit dull as well for the same reason as cmschex.
I'll totally play any of these, but they wouldn't be my first choice!
I love Unity. Although I understand the frustration of not being able to get bots out, but it just seems to make it even sweeter when everything comes together for her and multiple raptor bots start chomping down on the villain.
My two most frustrating, as mentioned before, are Visionary and Fanatic. I just don't seem to get them like I should, and I have read all the guides, it just hasnt clicked yet.
AA would make the list, but I'm so bound and determined to like him and play him correctly that he doesn't frustrate me as much as the others
Argent Adept is probably the most frustrating for me, as he gets the shaft from both Ongoing and Equipment destruction. He takes so long to get set up (even with cards like Silver Shadow and Arcane Cadence), that any Villain/Environment combo that has a lot of card destruction feels like you're spinning your wheels. We actually have a cheat sheet that I keep in my box, showing Adept's various instrument combos, simply to speed up those Instrumental Conjuration draws!
I tend to get frustrated with Nightmist at times, if I don't have either Amulet of the Elder Gods or a method to heal hp. Luckily, at least one of those usually comes up pretty quickly. A friend of mine did have a game a few days ago where he drew practically 2/3 of his deck and had yet to encounter either a Starshield Necklace or an AotEG. He was a touch miffed.
That same friend tends to shy away from Bunker for similar reasons, but I think a lot of that is him trying to do too much. Rather than focusing on the Gatling Gun OR the OmniCannon OR Turret Mode-ing, he tries to do it all and feels ineffective: "I don't have enough cards to make OmniCannon worthwhile. Bunker needs too many cards to get set up!" I find that once you get past the temptation of all the options, your play becomes a lot more liberated (and effective!).
I don't really find Visionary frustrating, but kind of repetitive. A good deal of her cards simply are "Look at the top 3 cards of a deck; switch them around." While very useful, it's not particularly fun for me.
Nightmist by far. So many times I've sat and drew cards hoping to get cards that can do something without killing me. When a match goes bad Nightmist seems to be in worse shape than others.
She's crazy fun when the match favors her, but when it doesn't she can get in serious trouble. Even when she does pretty good it often feels like you do 83 things to have a small impact on the match.
I don't actually agree with this, as there have been times when it was important to do an extra few points of damage, even if I was going to lose that bot soon after it did it. It's really situational, and often I find I have to be willing to lose a bot or two to win a game.
I can just rebuild them, anyway. 
I approve. I also feel the same way about heroes. HP is just a resource to draw more power from.
Harder, better, faster, and stronger?
Ah, yes. I wrote an incomplete thought. Should have been, 'If they aren't going to survive, no point putting them out unless there's something that needs immediate attention.'
Mine are Bunker and Expat, for very similar reasons; they both rely heavily on getting all their cards set up, and with little to no searches or card draws, it's entirely a crapshoot whether or not you'll be able to play them well.
That being said, I absolutely relish the complex heroes; Argent Adept and Nightmist are my favorite, as well as a few from Vengeance, The Scholar, and Absolute Zero.
Fixer and Expat. So much that now I play them only with variants since I kinda like their shtick (Fixer: add to Strike "You may play a Tool or Style..."; Expat: all Ammo cards read "You may draw a card"). Otherwise, Wraith, making other Heroes obsolete.
About Unity: she is in the club with AZero of "The thin line between doing pitiful contribution to breaking the game". The trick with her is that she doesn't want to slow-build, she wants to snowball with golems. So barring some BeeBots, you want your first 2 plays to be Construction Pylons to drop the big FF guys, by deaful Stealth Bot to lenghten your bots life (and Unity when needed) and Swift Bot to get the cards to keep the bot pouring up. For this you have Flash Forge, which I read "discard your hand, rig it with Construction Pylons and Big Bots and start rolling next turn". So adding that you can play 2-3 cards per turn and that you want to have 1-2 big turns of dropping golems, I will pass up to 2-3 turns early game to be able to get rolling for the endgame. I do have trouble with Unity when the environment just keeps hitting everything over and over, like in Atlantis, Silver Gulch, but if not her guys will be chomping on the board over and over. If the Villain of turn does not like that approach (ie. Iron Legacy), I'll try to get Volatile Parts down and just let the Bee Bots / Platform Bots explode.
With Unity I just love Cryo bot and damage boosts. With Legacy/Adept it can get ridiculous.
Expatriette really does not need a lot of setup. One gun, and she's done. Other cards are nice, but not necessary.
Honestly the only character I've NEVER seen flourish is Argent Adept. I've had great runs with Nightmist, Zero and other complex heroes. But Argent just seems to get less for more compared to other heroes that need to be built up. His acceleration is kinda weak too, compared to similar heroes. I would kill for his power to be something like "Play a card" so that he could pick up speed but would depend a lot more on instruments and such.
... you've never played with me then, obviously. We'll have to fix this. You have a Google Plus account?
Also, just to clarify; you know that you can use perform and accompany texts multiple times per turn, right? So in one turn, you can regain 2 HP, have a teammate play a card, increase damage dealt by 2 targets, destroy an ongoing or environment target, blow up a second ongoing or environment card and either have 5 targets regain 1 HP each or have another hero play a card, all without playing any cards? Granted, you'd have to blow up a copy of Alacritous Subdominant, but a Vernal Sonata will bring that right back next turn.
The Adept is probably my favourite hero - I find there's always something you can do with him, even if you've got every song and instrument out (Silver Shadow is a lovely card :D). Even if all you can get out is a couple of songs and an instrument, depending on which instrument it is you can probably still do at least a couple of things on your turn. If that involves letting Unity get out a bot, or Expatriette draw a gun to play next turn, or Legacy to stack a second Galvanise on top of the one he used on the previous turn, it can make all the difference :D.