So many, but I'll list the most notable ones for my part...
Wolfenstein 3D - Episode 6, Level 7. On Death Incarnate difficulty. This was a royal pain for me to even achieve 100% in kills, treasures, and secrets. Everything else after the first 20% of the map is a freaking maze; nothing else. It's possible, but......jeez.
Descent 2 - Level 16. The level itself is ok, but the boss of this level is horribly cheap, even if you're playing on the easiest difficulty. Many people who fought this boss the first time had to resort to camping for this one. But really, once you're hit with a flash missile, you're then bombarded by even more heavy fire......which probably means you're instakilled...unless you're capable of memorizing your way to a safe area, as that's your only best solution.
Descent 3 - Level 4. The trains. Better yet, try this without using the rear view button. It'll probably be one of the biggest scares of your life. Fortunately, anything after that is a cakewalk since that's only the beginning portion of that level itself.
Touhou 10: Mountain of Faith - Not sure if this one counts, but anyway, it's not the stages or bosses; but it's Kanako's very last card on Stage 6 Hard/Lunatic (in other words, her very infamous Virtue of Wind God on Lunatic difficulty). I can capture this consistently now, but I've been overdue for a no bomb-no death timeout and I just don't feel motivated to pull it anymore. Still, if one were to be used to it, that, in my opinion, that card is fun as hell. However, my attempts have motivated two other Touhou players to successfully time it out in the past, though...
Touhou 12: Undefined Fantastic Object - I'm used to the entire stage portion, but even after months of grinding that stage (on Lunatic difficulty), I'm still not very consistent with Shou's spell cards. In my opinion, her last card (Complete Clarification) is probably her easiest for me, but even then, it's still hard. Given there's no spell card practice for this one, a stage run is completely mandatory.
DoDonPachi (any series) - Hibachi. Just look it up on YouTube. Since there's various ones, any will do. I really shouldn't explain this at all. I am currently not adjusted to this at the moment.