I think the most impressive tricks are the ones that are done in a sequence of steps. It's almost like teaching a series of tricks but the parrot has to do them in the exact order you teach them. It becomes complicated. If they don't do it in that order, the trick doesn't work.
I think the toughest tricks are the sequence tricks or the tricks that involve shapes/colors. Birds can see colors and shapes, but you have to teach them the trick is ABOUT the colors/shapes, not just the action of putting them together (like ring on a peg). The easy part is putting the ring on the peg. The hard part is teaching them the red ring goes on the red peg, etc.
The coolest trick I taught Duke was his very original slinky trick.