I guess unfair enemy battles. Like when you're playing on Normal on L4D and all your teammates are about to die, two steps away from the safe house and two freakin' Tanks come out of nowhere and kill you. Or Mega Man 7's last battle against Wily. He shoots stuff at you that is nearly impossible to dodge if you're not lucky enough. it's a random pattern too so it's not like you can guess his strategy. Or Super Meat Boy's boss in Hell. If you know the super secret unknown mysterious pattern it follows, then you're doomed.
There's also bad voice acting. I mean, if you're gonna add voice acting to a game, it's because it's supposed to add something extra to the whole experience, not because you had extra money lying around or because all the cool kids are doing it. At least make an effort!
Also, badly executed plots. By now, I've come to realize almost every plot out there is kinda cliched (Save the damsel in distress, the lonely and noble hero, tsundere, etc). But there's way to execute it correctly. Personally, I admire Dragon Age: Origins for doing something different with the whole tsundere genre (Morrigan and Warden). It was somethign I hadn't seen before. And Red Dead Redemption added a new twist to the bad boy gone good/lone hero story.
I'm sure there's more but that's all I can come up with right now.