I'll say Blighttown, purely because the Mosquitoes. I couldn't hit them with Magic nor my Halberd which meant they unless I got really lucky I couldn't kill them... But other than that one specific enemy the rest of the game was fine.
Dante's Inferno, the bloody trials... I went using dark stuff so my Cross chains where pretty bad and because of the limitations of the Scythe (Melee range, no piercing) it's made getting the required "Kill all enemies in a single chain" damn near impossible to do (Even with the increased chain time accessory, which I wish I'd had the forethought to level up to maximum just for this one encounter). What makes this worse is I watched my Brother go through and he went for the light stuff and so every single one of his cross attacks (Of which he had a large chain of and could quickly cast the charge for decent piercing damage compared to my pathetic damage it deals) hit multiple enemies and hit from across the platform so he ended up just breezing through that stage (Though he struggled with the dudes who where immune to cross damage as it took him a while to kill them with his scythe... Then again he had his cheaty heal that gave him better sustain in fights)
Legend of Zelda: Ocarina of Time Master Quest - The Fire Temple, had me running around for a few hours until I got annoyed enough to start slashing away at the bars in front of a key containing chest... Which lead me to find out that Master Quest places switches behind walls that need to be hit with the spin attack... Other areas weren't so bad after though since I knew "If I can't find the switch, it's behind the wall"
In Guild Wars 2 - All Charr zones. I really don't like them, I don't like the story for the renown hearts, I don't like the enemies in them (Ascalon are so boring to fight, especially the Fighters who do bloody fiery block for long durations) and I don't like how a lot of the Vista's are a pain to get to (Or failing that, annoying)