Tomb Raider: Anniversary
It was on one of the last levels and I was attempting to make my way back up a mine shaft, or something, that I had fell down into. The process was pretty much this;
Climb up pipes, jump to spinning wheel-thingy, jump towards random-steel-box-in-the-wall, fall down to the ground where a rat kept attacking me that I couldn't kill. I must've re-tried it 20 times before turning off the damn game. Think it's one of the few times where I've actually cursed out loud while playing a game.
Later realised that if I moved the damn camera I could plan the jump much better, so perhaps it wasn't the game that screwed with me as much as I'm a total idiot.
In that case I nominate Demon's Souls, but it has already been covered... loosely.
*fights with extreme care towards the end boss of a level*
Well, hello dar, big guy!
*smack*
You have been defeated.