KQ is probably the one hand that gets many players into the most trouble. There are two situations that I see come up time and time again.
Situation 1 - You are UTG/EP with KQ (suited or off - doesn't matter) in a MTT and you have between 10-20 bb's. That person shoves, and when (s)he is called, they are almost always behind (either against a pocket pair or dominated against AK, AQ, in which case they are in REAL trouble). It's best to fold that hand, even in late position most times, though table dynamics may sometimes warrant a shove.
Situation 2 - In a cash game where you are the original raiser with KQ and then somebody 3 bets behind you. You have to account for hands like AK/AQ as a big part of their 3-betting range. I find I'll be the one 3-betting with that hand or else I'm folding if I'm in early position pre-flop.
To me, it's about avoiding those awkward spots with marginal holdings, and KQ is probably the most marginal hand to have pre-flop especially in early position.