I think that I've read many other players naming the F1 events as the ones that gave them the most challenge.
This would be the Formula Gran Turismo Championship A-Spec event and the Ferrari Forumla Challenge in the Seasonal events.
Most likely the reason for this is that the cars are very speedy, which is great when you're driving well. However, if you make a mistake and have to recover, the other cars are speeding away at 200 mph (322 kmph) which makes it difficult to catch back up to them. Basically, one mistake can take you from being in first place to being in last place, with very little prospect of getting back in the lead. For this reason, it tends to be challenging for many players.
I've also heard the NASCAR races being mentioned. They tend to be about drafting/slipstreaming and that's not usually how races are won in the other events. Most likely due to it being different, it is challenging for some.
I seem to remember a couple of the other Seasonal events mentioned, but I cannot recall what they are at the moment.