There's a lot of them for me, but just to name a few:
Any RPG battle where odds get against you almost all the time (status ailments, those hated enemies or bosses using their overkill attacks twice, etc)
Sonic Unleashed: the Eggmanland time trials...just, that...
And for a bit more of variety, some annoying moments I had with racing games:
Midnight Club LA
The where-the-fuck-do-I-go nature screwing you at the most important times, traffic spawning just around a blind corner, trying to get the tuner car champion challenge and always ending on races against exotics and motorbikes (and you're not able to do all 12 events required on easy, you're forced to do at least 4 of them on normal, and many know how difficult the game already is)
Need For Speed: Most Wanted (2012)
That unless I'm using the Koenigsegg Agera R or the Ariel Atom V8, the cops seem to always catch up to me. Also, that they always find me when I'm hiding in pursuit events when I'm almost done and there's not much time left to accomplish the 1st place time requirement (totally hated those ones on heavy feeling cars) xP
Gran Turismo 2
It's been years since I last played it, it was a time where I didn't know how to take care of CD format videogames so the CD isn't functional anymore, my PlayStation doesn't work either (although, I still have it, in hope I can get it fixed someday) but I still remember that damn race event where the entry restriction was of around 300 hp and the CPU threw at you a damn GT 40.
And finally:
AquaChills wrote...
Really good save file with hours of work becomes corrupted.
I know how that feels, that ruined me so many games back then :(