That friggin' pit in the Mystic Cave Zone of Sonic 2 is a good candidate, although it primarily punishes you for unlocking Super Sonic.
For years, the bane of my existence was the part in the second act of the Carnival Zone from Sonic 3, where you are locked in a small room with a rotating cylinder that is blocking the exit. I would jump on it for hours, trying to push it down, only to have it rise back up and block the exit. The time would run out, and I would die, and half the time rage quit.
Then, recently, playing it on the Genesis Mega Collection or whatever on Xbox 360, I found out all you have to do is press up or down while standing on the cylinder, and it goes in the direction you point. No jumping, no weird timing, no real effort involved; I was simply not aware of this when I was a kid. I could have saved myself so much stress...