I have a fairly unique one.
Star Ruler, a space 4X game.
My problem with it is mostly that, well I suck, but not even the normal kind of suck. This is a strategy game. I'm good at strategy. I run rings around the hardest AI in similar games.
In Star Ruler, the "trivial" AI absolutely destroys me.
This, in and of itself is frustrating, but worse is the fact that it seems to happen for absolutely no reason.
Looking at the in-game graphs, I out research everyone else, or out produce them, or have some crazy edge over them, but when that edge is tested it breaks in two and I have no idea why.
The forums of the game are littered with players who find the hardest AI to be easy to beat even on "cheating" mode, yet I feel like the game is rigged. My tech will be running circles around theirs, but when my hyper advanced warship faces off against an AI ship, suddenly all I researched was "construct vessel out of explodium"
Just crazy frustrating.
Also I still rage about ME3, refuse to even play the series at this point.