Shin Megami Tensei III: Nocturne... I seriously don't believe I have to go any farther than that in explanation.

Getting to the very end of FFTA, having only 2 missions left for completion and finding out I can't get the item necessary to qualify for said missions cause their are only three times you can get it and they are all one time missions; which means I most likely threw it away when I was cleaning out my quest item inventory...

Getting close to beating the uber boss version of I-No in GGXX story mode with Dizzy. Knocked her down to an inch of life and had her spam two supers. One used to make her invincible when I hit her with Dizzy's super attack and the second one killed me despite having half health... Made more frustrating cause I only have one shot at the fight cause I get a different ending depending on whether I win or lose...