For PC, Supreme Commander. Nothing so frustrating as playing a mission that takes 3 hours only to get nuked by 3 opponents at once when it takes 25+ minutes to build the countermeasure that can only take down 1 nuke at a time. And then there's the build time FOR THE ACTUAL ANTI-MISSILE MISSILE, which is like another 20 minutes per. Seriously...to finish missions I would queue up defense buildings and then go make dinner. By the time I got back it would usually be ~3/4 done building.
PS2...lots of games, really. But the one that REALLY stands out is Devil May Cry 3, the non-greatest hits version wherein if you died at a boss you basically had to start over at the checkpoint in the middle of the level. Good gravy were the bosses needlessly hard.
Also for PS2, any and all Armored Core games after AC2. It was like there was no way to win...if you went for speed, you got blown up instantly. If you went for toughness, you were so slow you'd get meleed to death. If you went for balance, you spent so much money on ammo and repairs you had to replay missions over and over and over just to buy a single upgrade. That franchise is dead to me, DEAD I say.