First of all, what do you mean by colonised? Do you mean brought under the political control of a European power? Do you mean settled by white European immigrants? Do you mean conquered by a European military effort? I don't mean to seem facetious, but there are inherent difficulties that come with talking about colonization in Africa.

Fundamentally, each European power expanded its imperial rule in different ways, utilising different methods and with different levels of success. The Portuguese in Mozambique and Angola, for example, despite having a presence in those territories since the early sixteenth century, had effective control over less than 1% of Mozambique and 10% of Angola in the 1890s. I've written before on the Portuguese style of colonisation so I won't go into detail here, but it provides an interesting example of colonial efforts in Africa. The Germans in German West Africa, for example, also had a very small European presence of about 500 in 1914 versus a native population of around a million, leaving the running of the 8 Bezirke or districts to the existing forms of local rule. I wrote recently about the issues of colonization in this answer here so again, feel free to give that a read too.

So with those semantics out of the way, let's look at your actual question. If we take colonization to mean simply ti take political control of (which is a definition I think would be disagreed with by most historians as being way too simple but provides one interesting, single theme approach), then Ethiopia would be the obvious option. The issue of Ethiopia's successful resistance to the attempts of European powers to colonise it is a question that has been raised many times, and answered with some really good answers already. The simple truth though is that the Italians managed to last in Ethiopia only from 1936 to 1941, although the Second World War did play a part in that.

If, however, we take colonisation to mean total socio-political-economic control of a territory, then I would personally argue it is impossible to identify one area or region that proved more difficult to colonise than others. South Africa, which was arguably one of the most heavily colonised regions by the start of the twentieth century, saw numerous violent conflicts during its history, and socio-economic divisions that fundamentally shaped the modern nation we see today. The British in Central Southern Africa, the French in the North and West, the Germans in the South-West and East, and the Portuguese all faced similar difficulties in implementing socio-political-economic control. The French and British in West Africa (e.g. French West Africa and Sierra Leone) were faced with the problem of the 'domestic institution' of slavery, which ran contrary to their abolitionist beliefs and policies, but which was seen as an integral part to the socio-political and socio-economic structures in place and upon which the colonial authority relied. Pursuing abolitionist policies too severely would have severed the ability of the Metropoles to draw upon traditional forms of power, and risked the descent of the colony into an uncontrollable situation (as happened in 1905 in the Banamba Slave Exodus in Western Sudan). The Germans in East Africa faced an uprising and insurrection in 1888 and 1889 as a result of their attempts to implement taxes and duties on the African population and shifting the economic development of the region towards 'model farms' with cash crops grown for export, which led to a second rebellion in 1905 - the MajiMaji, where 150,000 Africans were killed. In Southern Rhodesia, the BSAC and the white settlers faced violent rebellions twice within the first seven years of colonial rule.

TL/DR Colonization was not easy anywhere, and it depends entirely on how you define colonisation and how you measure resistance or difficulties that you can identify one place as being more troublesome than any other. Personally, I can't but others may disagree.

Any questions feel free to ask away!