Baldur's Gate II, when I couldn't get Montaron & Xzar as playable teammates, & when Yoshimo turned on me, because he was my favorite.I was also pissed that my characher couldn't kill that annoying Aerie chick who never stops whining.
Then there was when I got the Storm of Zahir & Mysteries of Westgate expansions for Neverwinter Nights 2. The premium mods from NN1 let you do cool shit like walk underwater & become a zombie pirate. But for NN2, we get storyless add-ons that play like Heroes of Might & Magic.
There was my first NPC companion in Dungeon Siege 2 who died in a cutscene. I could have any of my latter companions revived, but he was dead for good & I really liked his design.
& every time I tried to load a saved game, only for the gamesave file to be corrupted, forcing me to start earleir back or worse; from the beginning.