Here are a few: AppendTo[data, elem], Sort[data, test], in some cases use of ___ (as mentioned in David Wagner's book).
Edit:
A Wolfram Research developer explains here why Union[data,test] has quadratic complexity, and I am pretty sure the same applies to Sort[data,test]. The same Wolfram developer explains here that AppendTo[data,elem] has quadratic complexity. There are many math problems such as Inverse[matrix], FactorInteger[n] that are inherently expensive on large problems.
The most important answers to this question will be features in the core language that can kill the performance of a program. Sometimes you can greatly improve the performance of your program if you avoid such features.
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