Someone mentioned Black and someone else Fatal Frame III.
I remember being very frustrated at Black. As good as it was, many enemies seemed to be close to invulnerable. I quite vividly remember shooting certain enemies in the head several times in succession... yet they would only flinch and continue coming at me. And no, they weren't heavily armored or anything like that. I don't remember if I ever beat the game.
As for Fatal Frame III (or rather, Project Zero as I'm used to calling it), while the final boss has that certain one hit kill move and the quick midair lunge attack, that make the fight much harder that it really should be, I was always more annoyed at the candle mechanic that was introduced late in the game. While not certainly a game breaker for me by any means, the candle mechanic also made the game much harder, and made backtracking a really nasty affair if you didn't use the mechanic properly.