I've gotten angry at games, but usually, I shut it off and take a break. I've only given up on a game if it repeatedly angers and frustrates me to the point I'm having 0 fun and I feel hopeless that I'll ever get past the part or enjoy the rest of it (Protoype, Final Fantasy XII, I'm looking at you!).
But if it's because it's a challenge but I can tell there's a way around it, I'll stick with it.
Now, I know of other people that get scary when they're mad at games. A friend's brother will snap his discs in half and destroyed a console once. And apparently, he got so frustrated with Resident Evil 3 once, he also deleted his brother's (my friend) files...though, not really sure why.
Yeah.

Crazy.