Cbyrne: I'd have to say the Dizzy games on the ZX Spectrum. No saves, pixel perfect jumping and you'd pretty much die if you even brushed an enemy/obstacle.
I'd like to throw in X-Com :Terror From The Deep as well. Enemy's would grenade spam you, they'd hide in closets, take over your own men with mental powers. Brilliant game though.
Also more recently, any driving level in the Mafia on the PS1. The cars handled like a bugger and if you damaged them, you had to restart the level. That was stupidly fristrating
OMG yes I remember Mafia when it came out... I LOVED it but that particular racing mission - think it was the fourth or fifth real mission you had to do.... MAN that was SO SHIT. I think I must have spent at least four days just restarting over and over because, as you said, if you damage the car, you're fucked. God that was sooo frustrating.
I had it on PC.
And I still remember the moment I finally won that race, I was like "YEAH NEVER AGAIN!!!" I never did play it again.