Panzer Dragoon Orta: It has checkpoints at the start of each level and before each boss, but doesn't save until you exit the game. I sit down for a massive binge and play through a level or two (they're massive, only 10 in the game) and die at the boss, try again from the checkpoint. Fail. Turn off the Xbox in frustation, get booted back about a 5th of the game.
DAMMIT! Fortunately that game is immensely fun, so it wasn't too much chore to play through.
Wait, that's a lie. The game is immensely HARD. It was infuriating.