Four words that prove how difficult the English language is: lose, loose, chose, choose.
Update: Doug points out: bough, cough, dough, rough, through.
Update: Ubi says: I can point out one that is really hard to deal with for us Italians. We always pronounce 'steak' with the 'ea' of 'freak'. So, here's my list: steak, stake, freak, break, weak.
Update: Anissa points us to Hints on pronunciation for foreigners.
Update: BJ says: This post reminded me of a word constructed to demonstrate that fact explicitly: ghoti (pronounced 'fish').
Update: Ben says: I'm reminded of the Dr. Seuss compilation The Tough Coughs As He Ploughs the Dough.