Trying to get a visa for Russia, while in Mongolia. It took a week and 4 trips to the embassy. The staff spoke very little English and were surly. They kept asking for more documents. In the end the only visa we could get was a Transit Visa, which gave us 7 days in Russia - long enough to ride the trans-siberian train for 5 days and then fly out of Moscow.
The second worst was getting the visa for Mongolia, in Beijing. But that's another story.