For me (keep in mind that I've only completed Conquest on Normal/Casual at the time of making this comment) was Chapter 21. And even then, it wasn't so hard for me (only took the strategy of "Get the fuck out of there while you still have your skin and best units"). And it felt so satisfying when I, "Conquered", it. Another honorable mention was Chapter 26 of, once again, Conquest. I have a funny story with this one,
[spoiler=My story]So, since I was very bad at FE, I had only one unit left, Leo, before I went to the last room. I took the left path, so I had a bunch of Generals waiting for me. Due to Leo's fantastic magic, they where no problem, but I had to use some healing items.
Then, after getting past Hans, I fought Iago. It was extremely close, but I won. I completed the chapter, using only Leo for part of it.