It only ever happened on the later titles (Or rather titles 9 and 10 and then the remake of 1) but in Fire Emblem there were a few points when the chance based combat system completely fucked me over. I remember one point in Path of Radiance when i sent my tiger unit Mordecai to face a level boss who only had a 20 percent chance for a critical and a 10 percent chance to actually hit. So naturally the guy pulled off a critical, killed my unit, and since it was Fire Emblem that unit was lost for good. I needed him for my basic strategy so i had to restart the level. There were also a few random points where i was trying to prolong a battle since if i killed a boss enemies would stop spawning and i was trying to maximize experience, but at one point during a survive X number of turns or murder leader stage, i thought the leader would stay put and not chase my units. After murdering literally his entire army minus one raven whom i was racing against, trying to get to a treasure chest, the enemy leader suddenly moved several squares and attacked an archer who was carrying a longbow. He dies, level ends several turns prematurely, i miss out on a lot of EXP at a point when the difficulty was about to curve, which really pissed me off.
But the worst part of it all was Fire Emblem: Shadow Dragon when the critical system and luck system seemed to have been totally fucked over. Some characters flat out NEVER DODGED even though the enemy hit ratio was ridiculously low, so i lost units to battles they should have very easily survived. The lack of a support system and weapons triangle lead to me giving up on Shadow Dragon, making me wonder which Fire Emblem game was the first one to be good.
Here's another point. At one point in Fallout 3, the V.A.T.S said i had a 95% chance of hitting an enemy, so i target him several times with my hunting rifle and open fire, only for the bullets to be stopped by the wall i had taken cover by. After emptying the clip and my action points, i had to break cover and switch to melee, only to be killed by a landmine because i wasn't improving my explosives skill on that playthrough. Most other times the only other frustrating moments related to Mirelurk Hunters spawning in too early.