Arkham Asylum, due to the inconsistency of Batman's attacks. I'd get a great combo going, and then something stupid would happen. Sometimes just tilt the stick and press the button, and he'll jump all the way across the room to hit someone while other times, the exact same input on my part only causes him to turn around and punch the air just about a foot short of that mook that was about to throw a cinder block at me. Combo breaker. Also, the dlc level where you just fight an endless horde of enemies. I wanted a map like that from the beginning, so I was happy they finally put one out, only to find that they cluttered it up with lunatics. Almost every time I try to take one out, no matter how many normal henchmen I've stunned, disabled, batgrappled, knocked down with batarangs, I always have about three guys show up to tee off on the back of my skull when I go for the ground takedown. The inconsistent targeting also factors in, because I am clearly aiming Batman at one of those regular joes he is actually "allowed" to hit, only to have him go off on a tangent and waste an attack (and the combo containing it) on a lunatic that was half a screen away. I also hate how Batman seems to go into slow motion during a ground takedown, but the enemies don't. Lovely. I really hope they tighten the sequel up a bit.
The final battle in MGS-2 on the hardest difficulty also had me going for a while, but that was mainly because I had a roommate who was constantly bugging me at the same time.
Also, Oblivion. I guess my disc got scratched up somehow (which is odd considering how OCD I am about keeping them as pristine as possible) so that some sections of Cyrodiil don't load in where they should. I recently discovered that the starting dungeon is one of these sections, which means I can't start any new characters. Well, I can, but as soon as I get to a certain point the game freezes. Actually, considering that a visual inspection certifies the disc as practically scratch free, I'm just going to chalk it up to another casualty of Bugthesda.