I don't think there is any algorithm with practical use that has never been coded, but there are plenty that are difficult to code.
An example of an algorithm that is asymptotically optimal, but very difficult to code is Chazelle's O(n) polygon triangulation algorithm. According to Skiena (author of The Algorithm Design Manual), "[the] algorithm is quite hopeless to implement."
In general, triangulation and other computational geometry algorithms (such as 3D convex hull, and Voronoi diagrams) can be quick tricky to implement. A lot of the trickiness comes down to handling floating point inaccuracies.