When you break out your mother from Jack-of-Blades's prison in the original Fable. That was the only mission I would say was unfairly hard in that whole game. The rest was a joke comparitively.
The Gym-battle against Bugsy in the remakes of Pokemon: Gold, Silver and Crystal for the DS. If you weren't using a 'mon half over again of Bugsy's Scyther, you would lose. Period.
The complete lack of any form of tutorial in King's Field: the Ancient City. It would've been a passable game if it had had that.
The puzzle in Prince of Persia: The Two Thrones where you had to move the platforms Farah was standing on so that she could get to the next one. It was more about going back and forth than using any actual logic.
And speaking of backtracking, all the backtracking they made us do in the original Resident Evil. I haven't played any of the others (I know that makes me a terrible person for not having played RE4, but oh well.) but the original had about 12 hours of added gameplay from walking and fighting respawned enemies. This applies to the MGS franchise as well.
Having to PAY to do some gigs in Guitar Hero: World Tour. The whole point is that you get payed for doing them!
The levels where you were required to play as certain characters in Dark Cloud. Of the six characters that were available, only the main character, the cat-girl and the genie are any good. And by the time you have to do the first level where you HAVE to use a character, there's no way they're up to par with what you need them to be.
The final boss fight in Gears of War. I played on Casual and it was ball-breakingly hard, mostly because Dom kept getting himself killed and I had to go try to save him, which inevitably got me killed shortly thereafter. Also the fact that the AI never seems to like you enough to help you up if you're incapacitated.
Wow that was a long-ass post.