Anything pesky is annoying. Pesky things get on your nerves, like pesky mosquitoes that ruin an outdoor movie or pesky ants that march away with all of your picnic food.
Pesky things are irritating, like small children who poke you on the leg for ten minutes while you try to discuss Nietzsche. A pesky fly dive-bombs by your head all afternoon. An itch you can't reach is pesky. The word pesky is an old word from New England, as in “like a pest,” but in a funny accent. Different people find different things pesky, but pesky things are never terrible, just very annoying.