Settings and/or game systems that I think it would take a very unusual DM to pull off well:
1) Wraith: Although in my opinion this was initially the best written setting WW offered, for all the obvious reasons I don't think it was ever pulled off and remained an exercise in world building creativity. I don't think the original setting could be played AT ALL except as one on one sessions or one shots (both of wish I wish I had or had had the time to do), since the dead people really didn't have alot of interest in other dead people and had very limited ability to interact with the world (which was the coolest thing about the original setting). Latter writings on Wraith emphasised the politics of the after life, its various factions and planes of existance, and really reduced Wraith to just another WoD game in a slightly strange setting. This didn't appeal to me, but did make the setting playable if you ignored what the setting was originally envisioned to be and all the wonderful differences being a ghost was supposed to have (and should have) in the way you interfaced with all of reality.
2) Paranoia: You can either referee this or you can't. There is no in between, and even very good referees in other systems can fail miserably at Paranioa. Basically, you need a DM who really is a wit and an extemporaneous comic. Robin Williams would probably be a pretty good Paranioa referee.
3) Toon: Same thing as paranoia.
4) GURPS: Diskworld: Same thing as paranoia.
About Changling: IMO, and this will draw fire probably, it is not that Changling is enherently a hard setting to run, but that Changling is the worst written of the WW ':' games. A quick reading of the preface and introduction to the game should assure anyone that it is completely runnable, since the explicit goal of a changling game was to provide an outlet of 'Heroic Fantasy' in the midst of WW's angsty games. The problem with it was that it was neither a very good heroic fantasy game nor a very good angsty horror game, and appeared to be a muddled mixture of them both with no clear idea on the part of the designers what they wanted to achieve. Changling can be quite successfully run as a D&D game in a high fantasy setting. Of course, that statement will draw fire to, because everyone that has read the Changling setting has a very different idea of what the setting should be like and how it should be played. IMO, this is due to a failure to capture the spirit of the fairy tales that inspired the setting more than it is indictive of the games flexibility.
"My main problem with the line is the Glamour/Banality dichotomy; it's a sound idea in theory, but in practice banal tended to be defined as "stuff White Wolf staffers don't like."
Amen to that.
For all the complaints that D&D's moral axis system (alignments) recieves, it has never been anywhere nearly as muddled, problematic, and (in the end) restrictive (if actually enforced) as any of the moral axis systems of any of the White Wolf games and it has a whole lot LESS impact on actual gameplay. (However, abandoning the system, which is what was tacitly done officially and unofficially removed anything I found enherently interesting about a setting filled with monsters.) While I greatly admired Vampire, and to a lesser extent latter games, for making mechanics which enforced and rewarded role play, in practice most of these mechanics were just about unusable if you attempted to apply them to morality as defined by the system (especially in latter games).
Glamour/Banality as a moral axis system was by far the worst of them (being not inconsequentially the one most related to D&D's highly problematic law/chaos axis). I defy anyone to give solid reasoning for any absolute value that you choose, and yet system mechanics force you to have absolute values (a problem D&D does not have). I mean, 'is considered to be cool by those geeks that engage in intellectual snobbery about what is cooler than something else' is hardly a moral axis.
I once gave a referee in Changling the challenge of providing a banality rating to St. Francis of Asisi. On the one hand, St. Francis is everything that the geeks at WW hated - Catholic, Christian preachy, absolutist, moralist, orthodox, reformist, and so forth. On the other hand, we have the patron saint of animals and fools, and to a lesser extent children. A man reputably quick to laughter and who 'suffered fools gladly'. His answer was 'Seven. When in doubt, everything has banality seven.' In the end, assignment of banality came down to (as it does in some D&D campaigns) to 'this thing/person is supposed to be on the other team', and its philosophical depth went no greater than that.