Anything that can explode. My jaw dropped in the Battle Tower when I saw Forretress Explode to take down my Latias, and a Steelix do the same to take down Latios to kill my third attempt at round 36. Now that I have Gengar, I don't fear it as much.
Anything Bug, Steel, or Ghost is my nemesis in the Battle Frontier, because Latios doesn't take physical hits very well. Usually Shadow Ball is the main bugger, even Swalot with a medicore 73 attack can 2KO Latios with SB. Scizor's Silver Wind and Heracross' Megahorn KO Latios. Steels are just hard to take down overall, and as noted above they pack Explosion. I pack a Gengar to deal with these now, though I haven't faced one since starting off with one.
The hit list increases in the Battle Tower. Most recently, Purugly's Shadow Claw 2KOed Latias, so Latios is in even more trouble. Crunch, Pursuit, etc. have to be watched out for.
I guess, after all of this, the real only major bane of my Latios is the dreaded Heracross, and I was at one point considering Psychic JUST to deal with him (would also hit Gengar, Wheezing, and Nidoking harder).