All time faves:
Fallout New Vegas: Bugs/glitches in an (unmodded) game - fortunately PC doesn't really have this issue with all the mod community, but it still hurts that we'll likely never see another.
VtM:B: The Sewers, in all its combat-heavy (which can be all-but-force-a-restart on certain characters if you're unaware), easy-to-get-lost, terribly designed glory - sucks that Troika ran out of time, here, too - fortunately, another one that mods can help with if you so desire.
RE4: The Island is a biiiit of a slog compared to all the zaniness of the town and craziness of the castle. That, and 60FPS mode on PC breaks the hell out of the mashing QTE's.
Witcher 3: I get the complaints about combat, but don't necessarily personally agree - that being said, the weight/inventory management, even with all the tweaks and such, is teeeeeeerrible.
Nier Automata: 9S' hacking mingame, (and most of route B, TBH) - maybe it's just that I never really warmed up to him, but his weakened combat potential and being forced to go through the same minigame over and over was not particularly enjoyable. Also, the overworld doesn't really give a good backdrop/work well with the story that's being told (the story works despite it)
FFIX: The slowness of the battle system is something I cannot believe I slogged through as a kid. Everything else about the game is a treasure, but that battle system (and the frequency of random battles)....woof.
Oh, and the Prima guide majorly, MAJORLY sucked.
FF:Tactics - the way the leveling system scales enemies and such can utterly ruin your playthrough if you don't know ahead of time - and that's not even counting the Wiegraf fight.
More recently (not sure where it falls on the overall fave list), RE:2 remake: 'Second run' being a literal repeat with only minor puzzle variations was pretty disappointing - especially when side A has basically the same story beats, so there's less of an incentive to play through the 'other' way.