One annoying moment was when it claimed a variable would always be false, and running in the debugger proved it could have both values. I also had to turn off a lot of rules because the refactoring suggestions I had would've made the code cleaner at the cost of adding indirections or allocations.
I was doing a 2D skeletal animation system for Unity3D at the time and wanted raw performance much more than anything else. We ended up pushing 10K sprites on mobile devices (thats about 200 dynamic meshes of 50 sprites each - the best existing solutions we could find had a performance cap of 10-20 meshes) but that was the least idiomatic C# I've ever written; structs and refs everywhere in tightly packed contiguous memory with components being dumb indices into these arrays.
Its a wonderful tool, but it requires some critical thinking to not naively apply everything it suggests, which in my case ended up being easier to work without ReSharper than with it.