The freaking flying boss in Shadow of the Colossus. It makes me just want to scream in frustration because I keep falling off. There are more frustrating bosses, but this one was just ludicrous for me.
Then there's the Demyx bos battle in Kingdom Hearts II. It's frustrating as all hell at first, but once you get into the swing of it, it gets rather enjoyable. Now, if the AI weren't so freaking 'tarded. Also, is it me, or is beating up Demyx and/or his water clones theraputic?
Legend of Zelda: Phantom Hourglass. The freaking starting dungeon! Please see Yahtzee's review on PHourglass and you will find my exact thoughts on the subject.
The combat in Prince Of Persia: Sands of Time made me want to fire the game into the sun. This is an amazing game, but the combat was rather samey and boring.
The quicktime events for RE4. I don't WANT to "Press X to not die"! Also, any not-zombie with a chainsaw and a sack on their head was definitely worthy of a controller through the screen.
My last complaint is the digging sections on Okami. Since I bought it for the Wii and it's easier for it, but for cripes sakes, I'm not part mole! There's a lot of stuff to complain about in that game, but there's a lot to like too. I just don't want to go into all the gripes I have.