There are two broad categories of monsters that I dislike.
1) Boss Monsters like Beholders, Dragons, and many high-level devils. While cool conceptually, they are generally much more difficult to run as a DM. Since players are completely unpredictable, there's no real way to plan ahead for one of these encounters, so I keep finding myself looking through their descriptions looking for good counters to the current PC tactics. Generally, the creature (or the party) just gets mulched in a couple rounds, and everyone, DM and PC alike, feels let down by what should have been an awesome encounter.
2) Stat-change carriers. Any creature that can change your character's base ability scores, character level, or grant a character a template through basic, often automatic combat actions like using their standard attacks. Lycanthropes and most "spawner" undead like shadows, ghouls and vampires make up the majority of this category. While I can see the storytelling potential in having an encounter with long-lasting effects on a character, the mechanics make such stories either difficult (LA and HD as Dog Moon pointed out) or trivial (restoration, remove disease, remove curse, etc.) Lycanthropes further complicate the issue by having multiple forms, meaning that not only does a transformed PC need to re-work his character around the LA and HD, but he needs to have lots of extra pages for his character sheet to detail his three forms.
As for the damage reduction issue, I tend to use Monte Cook's alternate DR system presented here:
http://www.ptolus.com/cgi-bin/page.cgi?otherd20_damage_reduction
This has worked well for me, especially since I tend to run Arcana Evolved, where Mageblades, Iron Witches, and Champions all have class abilities that grant them scaling bonuses to weapon enhancements as they level. It keeps the enhancement bonus relevant and helps reduce the "golf bag" syndrome. At lower level, it is still cheaper to buy a silver weapon to hurt the local werewolf, but once you get into the mid-range, you can just carve through a pack of them with your +2 weapon on your way to fight their lord.
Robert "I generally like Monstrous Humanoids, Plants, Aberrations and Giants" Ranting