There haven't really been any games as a whole that make me angry (typically because if it does happen, I stop playing it and forget it ever existed), but there's certainly things in games that make me angry. The most recent example I can think of would be from Dragon Age: Origins.
I was doing a side-quest in Denerim's Elven Alienage to help out a blind templar, and we went into a haunted orphanage. Well, my first time through there he dies after the first pack of dogs run up and I fail the quest. So I reload the autosave, protect him this time, get to the first advancement of the quest, move a few rooms further and he dies again because he didn't regenerate any health after the last combat encounter, so I fail the quest. I reload the quicksave, let him regenerate this time, get to the cut-scene and kill the penultimate boss of the quest, then it brings up another cut-scene and what happens? The templar gets killed anyway.
That pisses me off.