Army Men. Nuff said.
But I'm still going to say more.
Strictly speaking, I've only played one or two Army Men games, but the level of needless challenge is a frightening discovery. In one of them, there's a level where you're supposed to escort this guy past a minefield. Now, you have a mine detector, and if I remember correctly you're safe from the mines when you're using the mine detector. However, you could spend a day making absolutely sure you've cleared the area of all the mines, and the guy would still find one and blow himself up. Whoever thought that was good game design, and whoever agreed or let it slide, deserves to be removed from the industry.
Rant over, and I can't think of any other games I've played that shouldn't have existed. No sequels, at least.