For me and this was back when I was bored playing video games in the late 90's on my N64 before GameStop bought over Funcoland, Wiz Pig from Diddy Kong Racing.
I got so frustrated from that game that I took it back to Funcoland for Cruisin' USA, yeah I remember that game store like it was yesterday. I even had a Membership card from there when the Sony PlayStation first came out in 1995. Had Sonic the Hedgehog on the card as well.
I remember also getting frustrated trying to beat Sigma the final boss in one of the Mega Man X games I used to play on my Super Nintendo.