Burr-prone, ductile steels at low hardness, such as below HRC 55 or so are the worst. Something like Spyderco's VG-10 can be a PITA if it's a little soft, with very tenacious burrs that'll bend back & forth all day without breaking loose. And a steel like ATS-34, I've noticed, can produce very 'bendy' & ductile burrs even at hardness levels around 60 HRC. But at that hardness, even the burrs are impressively strong & tough. Getting them aligned straight is the trick.
At the opposite end of the burring spectrum, a steel like ZDP-189 at hardness of low-mid 60s HRC won't produce a noticeable burr at all. So it can be difficult to detect if the edge is fully apexed or not, which makes sharpening it more challenging.
Most any other steel can be very difficult or very easy, depending on whether you find the right abrasive for the job. The D2 mentioned in other posts is one of these - I've not much liked trying to sharpen it with aluminum oxide or lesser abrasives. But SiC eats it for breakfast, as does diamond. SiC is great for quick bevel-setting on D2, and diamond is best for refining it to a higher finish.
Agree with other mentions about the heat treat making the most difference. An otherwise 'difficult' steel to sharpen can be made much easier to sharpen, and with better edge-holding to boot, with a masterful heat treat job. And very 'simple' steels like 1095 can be some of the worst, if the steel is left too soft by heat treat. 1095 is a thing of beauty at hardness levels around 60 or so.