I would go with the UK, followed by the US as the hardest nations to play. Both nations are challenging because each has to adopt a reactive strategy to what the Axis players do in the first few rounds.
Depending on how successful the Germans are in the first turn, the UK is forced to make some hard choices with VERY limited resources in the Atlantic… do you cripple the Italian fleet and try to slow the Axis advance in Africa, or do you pull back to the North Atlantic and challenge the German fleet in the Baltic (or prevent a Sea Lion if that is what the German player is trying)? In the Pacific, you have to react to the Japanese strategy also… if Japan is going India crush you have to hunker down and try to buy as much time as you can. If there is not an India crush, then your goal is to help the Chinese by keeping the Burma Road open, while trying to grab up territories in the South Pacific with a very limited surface fleet.
The US is challenging because the way that they allocate resources after turn 3 can make or break the allies war effort. The US has an abundance of resources, but they must split them on two fronts… if the Axis are winning in one theater, then it is up to the US to tip the balance of power back to the Allies. If you are up against a skilled Axis team that uses Japan to put pressure on the US’s interests in the Pacific, while the German/ Italy combo are putting major pressure on Russia, then you have a very tough decision indeed!