GTA IV (Xbox 360) and Ninja Gaiden (original Xbox).
GTA IV: One mission after In Mourning, where you get called by the Little Jacob and you chase down Demitri's henchmen. In that entire mission, I keep failing at one moment. It's different every time though, but I keep fucking up somewhere down the line and it's gotten so frustrating that the game can go fuck itself.
Ninja Gaiden: One word.. ''Alma''. Seriously, the savepoint before the fight with her is frustratingly far enough, but why does the fight have to be so damn hard too? For me, it was impossible. I got soooo close one time, but I stepped one inch to the left and I got hit by a pillar which eventually killed me. One more hit would have done the job, but I failed..