Bayonetta: QTEs come out of nowhere and are extremely unforgiving. Also, some of the enemies (the golden clawed guys come to mind) are a pain in the ass to fight on higher difficulty levels.
Halo: Reach: Elites on Legendary. SIT STILL YOU JERKS
Vanquish: Can't manually shut off Critical Health AR when you aren't in danger. 99% of my deaths in that game come from being shot all to hell because I used up all my energy in that stupid mode.
Red Dead Redemption: Auto-Aim makes the game too easy, no aim assist makes the game frustrating. There isn't really any middle ground. Also, weapon balance is crappy. No reason to use anything but a repeater rifle until the very last tier of weapons. Then you actually get a decent pistol. Then the game ends.
Brutal Legend: Drowning Doom players who spam Reapers. Also, playing through SP again is kind of a chore, what with 75% of it being tutorial.
Alpha Protocol: Depending on your build, the game is either confusingly easy or impossibly difficult. Some of the bosses have to be planned for WAY ahead of time if you don't want a long, frustrating time with them (coughBRAYKOcough).
Mass Effect 2: The fighting, while competent, is somewhat boring. Enemies do too much damage to encourage risk-taking or aggressive fighting, so most of the game, no matter your class, is just popping in and out of cover taking pot shots.
Deus Ex: Terrible voice acting. Also, the graphics weren't very good, even for its day.
Fallout 3 and New Vegas: This is more of a personal problem, but since I went out of my way to do pretty much everything I could on the first playthrough, I feel little incentive to play the games again. I'll start new characters, get a few hours in, and just remember the huge slog ahead of me and simply lose interest.
Alan Wake: Needs more enemy variety. And the character's mouth movements look kinda strange.
Max Payne 2: Some REALLY, REALLY cheap deaths. Also, the final boss gives absolutely no clue on how to beat him. Annoying, as conventional tactics don't work. Its basically a puzzle, but no one bothers to tell you.