Max Payne is a constant annoyance for me. From what I've heard, it's supposed to be quite good and the film noir-ambience should be a cool change of pace from that of most games out there, but instead I find the controls clunky, the gunfights are unpleasantly chaotic (at best) and the film-noir stuff feels overbearing and needlessly verbose. And then the whole game's so friggin' dark, I have to boost the light-setting (or whatever it's called) on my TV to see anything whatsoever.
I'm going to trudge through it at some point, but it'll take some time...
EDIT: Oh, what the heck, might as well get this one of my chest as well: Final Fantasy VII.
I have to admit that it is probably in large part due to the turn-based combat (where I barely understand anything of what's going on) but it's also in large part due to the storytelling being pretty lousy, in my opinion. I don't know who people are, what they're doing, why they're doing it, or why I should care. I'm really just going through the motions, feeling pretty disconnected from whatever is going on.