Two spring to mind immediately:
Strategy/tactical. It's the one genre that at a base level I love, but every time I play one, I feel like I get outsmarted/overwhelmed and then think that every decision I'm making is the wrong one. It's an awful feeling... and yet I have Fire Emblem, Into the Breach, Tactics Ogre, Disgaea, etc. installed.
Graphic/point-and-click adventures. I've loved these games since the old Zork/King's Quest days, but like the strat/tactical comment above, there comes a point where I have no clue where I should go next, or some puzzle or puzzles will perplex me, and I end up having to look up solutions, which just makes me feel dumb. When the solution is convoluted, I don't mind that much since that's just a symptom of poor design, but when it should have been obvious, I start to question my own intelligence. LOL