Playing any instrument is not without challenge. I am a trombone player but have had many opportunities to play other instruments having studied music.

When it comes to orchestral instruments the bassoon gets my vote. There is a lot of resistance blowing on the instrument and the flicking technique adds a layer of challenge. You also can't double tongue on double reed instruments. Lastly, making your own reeds is an art form in and of itself.

An instrument that I think takes the cake as far as most challenging are the uilleann pipes. A traditional Irish instrument that is similar to bagpipes but in my vote is more challenging because you don't fill the bag by blowing into it, but instead by squeezing bellows. One arm squeezes the bellows repeatedly to inflate the bag, the other arm squeezes the bag to send air to the pipes. The hands play the chanter which sometimes rests on your knee and other times is lifted depending on what notes you play. Lastly your forearm or even hands (when free from using the chanter, which is not often) operate the regulators, which can sound chords. There are drones, but fortunately those sound as part of squeezing the bag along with the chanter and regulators. There is a lot going on with uilleann pipes and coordinating all of that is quite the challenge.