Ninja Gaiden NES. I've gotten to Jaquerio or whoever several times but his annoying double fireballs that track you and change trajectory at the weirdest times always get me. That and if you die on the final fight you do the whole CHAPTER over instead of the level when you continue.
Red Ninja. The last time you fight the Armor God is ridiculous, even more so than every other ridiculous boss fight in the game. Each boss barely takes any damage/blocks all of your attacks 99% of the time, but this time he just spams instant transmission to always be right in front of you with both katanas while never taking more than a few millimeters of damage to his health.
I've seen someone totally own him on youtube, and the fight still went on for over 16 minutes. Its just shave off one hit, doge 5 times, repeat until you want to kill yourself. And then you get to fight the actual final boss that is an even bigger troll because they can fly and shoot at you.
Onimusha 2. The final boss fight, where instead of fighting it out like every other part of the game it becomes a shooter of some kind as you get pelted with giant homing projectiles and can run left to right ineffectually. It probably wouldn't have been hard, had there been any kind of precedence in the whole fucking series to that point of there being a fight like that. You are left with no idea how to control your character in that moment and I obviously didn't meet that immediate learning curve required to that that BS in stride and kill Nobunaga or whoever. As if Gogandantes wasn't already a pain in the ass.
Bayonetta. Because I hated every second of every minute I played it, and that time was 1000% better than the time I spent watching the cutscenes. I got maybe 4 levels in before I sold it back to Gamestop, feeling more than a little dirty for having bought it in the first place. At least in DMC I enjoyed sucking at it when I rented them.
RE: Code Veronica. Only main game in series I didn't finish. I even beat RE2 with Tofu and got the infinite chain gun, and the hand cannon in 4. But CV...I hate that game. The plot, the everything. I actually got past the Tyrant on the plane, which was a really shit thing to have to fight in such a small space. I think I beat the boss with the heart weakpoint, and maybe a vampire bat thing, but after that I don't remember what actually prevented me from finishing. I think it was a guy with a huge axe and my inability to do whatever quick time event like thing to not die instantly or something. Rental so I had to return it.