Depends what level you mean, I've got a few (Broly, War Machine, a few others) who are outright cheap-os.
On the other had I do have many chars that are 'tough' even to the level of cheap, but only cheap AI (as in high level, not cheating)
1. Vulture - Crazy tough, very hard to keep up with.
2. Wonder Woman - AI is very tough, cuts you off a lot if you get sloppy.
3. CHOUJIN's Cell - Combos can crush you, and hard to judge.
4. DDR's chars (some may be actual cheap...not sure) - Can pound you into turtling until you can find an opening.
5. Thor - Wonder Woman (x10)
Definately got than that, like Dragon Claw (highest AI).
But for those guys I have my enforcers:
1. Hattori Hanzo - Punishes...everything.
2. Wolverine - Countless hours spent in MvC1 created the perfect rush down warrior.
3. Strider Hiryu - ^ Read ^ (and zone, in the case of Strider)
4. Muhammad Ali (palette edit of a K-Road boxer by
/ descolor) - Hardhitter, with a lot of cut-off moves. Managed to beat a simul team of Mike Tyson (same concept as Ali, different boxer) and Balrog (boxer) with no health handicap.
5. Popeye - Fire with fire using DDR's creations.