I would have to say that the worst mission is Skyrim would have to be "Elder Knowledge". Finding an Elder Scroll is an absolute pain in the ass! It takes forever, and I think its one of the longest missions in the game.
My advice, carry a light load because you're going to travel such a distance with constant enemies, that you need to be light to carry all the expensive shit you're going to find in there, especially Blackreach. Don't even get me started on "Return to your Roots". That's a pain as well and it starts the moment you pick up a Crimson Nirnroot.