Most annoying enemy in the game (IMHO) is a Vex Axis Minotaur. No weak spots, super strong shielding, and will teleport repeatedly to get right up in your face. If you can't nail it with a rocket you're going to have a hell of a time.
Runners up would be hive wizards, cabal phalanxes and the Fallen stealth vandals.
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I'm really looking forward to the Hive raid... But in a way, not really. Who knows what kind of Wizards/Ogres they'll have in it