Russell Square. Worst station to have to do a "U turn"?

Any station where the platforms are outside the track would necessitate a vertical displacement in order to reach the other direction.
e.g. Euston if you overshoot Warren Street on the Victoria line, Holborn on the Central Line, Chancery Lane, St. Paul's, Aldgate etc.

Actually, I think it would also depend on the station you've overshot & the line on which you overshot.

In your case, that was a really busy stop you missed, and only one line going back to it, so, even if the train back is just across the corridor/passageway, you could be waiting three or four trains to even get onto a return train. Bank, on Central or Northern Lines, is the prime example of that conundrum, and there are others, Earl's Court and Green Park amongst them.

Most hours the Southern service in the opposite direction is only a few minutes later, so you just have to go to P16. Even better if it is one of those that don't continue south from Clapham Junction, which means you wouldn't even have to change trains to go back!

Slightly OT but on a similar note, try missing the Northbound M11 exit for Stansted! Bang, 25 miles - half an hour added to the trip!

It's actually nearer thirty miles for the round trip to Junction 9a, but even longer is the penalty for missing Junction 2a on the M26, which is a 36 mile round trip to the next exit (by which time you have merged with the M25) and back

How about Embankment - Northern line as a station for having to come up some way before going back down?

not an up and down, but the sinking feeling when you miss Bank going north on the northern and realise you are at the wrong end of the car that doesn't have all doors open when you get to Moorgate on a crowded train.
*waits for Old Street*

DAMHIK...

A very common  problem. I think possibly just slightly beaten by the fun that can ensue at Woodford when the Hainault train from Roding Valley is reversed back to Roding Valley in platform 2 (normally the main westbound platform into central London). Partly this can be fun because the train to Hainault via Roding Valley (and thence on to central London) usually leaves from platform 3, which is over the footbridge, so people wanting to go towards Hainault may have to do a bit of walking - occasionally in a hurry - to change platforms. But it's much worse for anyone for central London who hops on the Hainault train without checking (especially post-announcement if the doors are closing) and finds themselves at Roding Valley in error

A mate of mine was forever doing this except he just used to walk from Snaresbrook to Wanstead, which isn't very far, and continue from there. He said it was much quicker. 

Ah, this was the late seventies.....and he very rarely paid a fare. Apparently it was quite easy then! He ended up a very wealthy merchant banker so his misspent youth served him well........

Mile End?

I recall getting fed up of waiting for a H&C service to King's Cross at Stepney Green and then I had to climb up the stairs and then down again to reach the westbound Central/H&C and District Line platforms.

Finsbury Park as well, though the U turn is even more ghastly.

It isn't? I thought it was deep level because of the Central Line.

King's Cross Picc at 7am on a Sunday morning can be interesting - the first few NB trains reversing there - although staff tend to make copious announcements, there will invariably be one or two people who get taken the wrong way!