For me it's changed over the years - I used to really hate binding because I wasn't very good at getting it on properly but I've improved so much I don't mind that step anymore. (I machine-sew mine on)
Then it was the quilting step that intimidated me, but I've gotten good enough at that to enjoy it. I still want to get better and have lots of room to grow, but I don't fear ruining my quilt with my quilting anymore.
So currently, my least favorite step is basting. I don't have enough room to lay out anything larger than a baby quilt, so I have to baste in sections with the quilt draped over a table. It works, but it's cumbersome and not very easy and I don't like doing it so it's become my logjam. Quilts make great progress before and after that step, but right now I have four quilts stuck and waiting at that step. Sigh.