I'd say this depends on what you mean by 'worst.' All mental illnesses are difficult to deal with, and the degree to which an individual is affected depends heavily on how severe the illness is in them and how they cope with it. There are a lot of factors there.

Personally, I would only feel comfortable analyzing what I've been through. I'd say that for me, the anxiety has been the most painful, the depression the most life threatening, and dissociation the most consistently disruptive. I've also had times where I believed demons were out to kill me and rip my soul away, and that I was in a battle with these forces. I'm not sure what caused this, but it sounds similar to what people endure in psychosis, and I can certainly verify that this was the most frightening. So for me it's like comparing apples and oranges. Would you rather be terrified, in pain, in fear for your life, or unable to function. (And there was a lot of crossover here too, so what combination would you prefer?) That's not really easy to choose. They're all 'worst' in their own way.