Haven't done all paralogues yet, but as for routes, conquest 10 and 20 stuck out for me. 10 was a massive headache on the last few turns, though I got better at it in subsequent playthroughs.
Chapter 20... is one of those maps you just look at, see the gimmick, the terrain, and the number of flying units, and don't even want to bother.
Also chapter 26, and I think it was CH23 conquest where you face takumi the second time? Hate those chapters for the enemy zergfests. Feels mandatory to have physical/magical tanks who can kill whatever attacks them in retaliation, and turns those units into exp sponges. At that point, it was my female avatar as a dread fighter with forged iron dagger, and unity + dragon fang + aether doing the carrying weeks ago. Would'ave worked better if paired with jakob, and if I thought to get vantage as extra insurance, but still worked as intended