Had lots of rage moments in Flick, Revenge of Shinobi(specially in more complex double jump sections, although I've beaten the game after some practice).
Or, let's see... Fatal Labyrinth. You could die of EATING in this freakin' hard RPG.
And last weekend I was playing Metro 2033, and I had to go through the same part over and over, just because of dying due to poor collision. That part that you must run from monster in that phantom train station. Sometimes I got stuck in some door passage, others I got stuck at the back of a NPC.