Playing Elite Beat Agents, failing the song on the very last spin marker. Next try, I got an A rating for the song, though
The Elite Beat Divas difficulty, however, is pretty much impossible for me o.o
Then, the dark spike pit ... THING in Mario Brothers: Partners in Time. You basically need to lead those retard babies over some small platforms in the dark, and if you even make half a millimeter of a misstep, they fall into the damn pit and you get to start all over. I quit playing it because it was so ridiculously annoying.
Then there's also Theme Hospital. Imagine you've only just bought a new patch of land, put it full with facilities, and within 2 minutes, an earthquake breaks half of the equipment there. Really, BREAKING. As in, the space being used becoming unavailable and no way to break it down (a sort of punishment for not keeping your machinery healthy, even though most of them have been used like, only 2 or 3 times.
Oh, and reaching the 10th tier in Colin McRae DiRT. Then closing the game, opening it again the day after, to see that the savegame went corrupt and you had to start over. I did not start over.
And that just reminded me of some more savegame perils... Gears of War + that Microsoft internet stuff wrecking your savegames each time you boot up the game, ARGH. Luckily you can start any level at any time if you mess with the game folders a bit, but still...