I think the hardest part is navigating all of the "inside information" needed to go through a successful application cycle. I know I'm probably going to get flamed big time for saying that, hahaha!
I think it's frustrating and disappointing that the stated rules aren't actually the rules. For example, if the application deadline is October 15, I expect that is the real deadline. Not being honest about the fact that the deadline for all practical purposes is probably closer to early/mid-August puts people who haven't spent days (and days and days and days) scouring the web to find these nuggets of wisdom in a tough spot.
I guess that's what I find most difficult: the game. It's not enough to be a competitive applicant. You have to be a competitive applicant *and* know all of the tips, tricks, etc. to get on a level playing field with everyone else. My personal funny story (because sometimes all you can do is shake it off and laugh): I didn't realize that I needed to include shadowing experience in my ECs under "other." It never occurred to me that I needed to list it separately (as opposed to talking about it in a personal statement, at the interview, etc.). Ooops.
As far as the waiting game, I had a difficult time with that, but not for the reasons others have listed. I had a hard time with the fact that schools felt like it was acceptable to string students along (you'll hear in 6-8 weeks! silent rejections, delaying decision notifications beyond the April 1 deadline, etc.). I understand that they want the best class possible. But I have a hard time understanding how anyone could find it acceptable to "silently reject" an applicant. That's inconsiderate (and borderline cruel, IMHO).
Speaking for myself, I didn't encounter issues with being strung along, or never hearing an application decision one way or the other. It just really hurt my heart to see students posting here--desperate to hear anything!--never hearing anything, and finally deciding that they weren't selected, but the school never bothered to let them know.
To me, it's sort of like not tipping the pizza man. Is it the most horrible thing you can do in life? Nope. But it's still completely obnoxious to do that to somebody.