"Global regularity of the Navier-Stokes equation" is not yet in this category, but once a proof is found, I am sure it will be.
More generally, there are many PDE which are "obviously" solvable for physical reasons, but for which actually proving existence (particularly in "global", "non-perturbative" situations, and requiring strong (regular) solutions rather than weak ones), is extremely difficult. A typical example is the Boltzmann equation, for which good global regularity results have only become available recently, with the work of Villani and others.
EDIT: Admittedly, many of the global regularity problems become a lot easier if one applies a physically reasonable truncation. For instance, global regularity for Boltzmann is much easier if one can somehow restrict the particle velocities to never exceed some upper bound $c$. But then the non-obvious fact moves elsewhere; rather than global regularity, the issue is whether one has sufficiently quantitative bounds that these thresholds rarely get triggered. Physically, it is intuitively obvious that a Boltzmann gas is not routinely churning out particles travelling at close to the speed of light; but it is remarkably difficult to quantify and then establish this rigorously.
