The first game that every got me mad was Need for Speed: Porsche Unleashed in Factory Driver mode. There was two courses that really got me going. They're both timed, have civilian cars, and you can't have any damage on the car. My problem on both was always running into an AI civilian car. I probably retried the damn thing 10 times before I finally got in both cases. There's also this one course where you have to do a 360 inside of a small cone area. That one also annoyed me. Needless to say, throughout that hole mess, there was a causality: I broke the flip-down stand off the Compaq keyboard I was using at the time. Ever since, I never have those flips down so they can't break.
I don't remember the other game that really annoyed me but it was more the mouse that pissed me off than the game (it might have actually been programming). I had problems with that mouse (Microsoft Intellipoint) since about a month after I bought it. When I left click with it, sometimes it wouldn't click at all, sometimes it would select, and sometimes it would double click. In any case, I smashed that thing on my desk so hard it exploded (the bottom snapped off and the buttons/wheel became unseated). I got my MX518 to replace it and haven't abused a mouse since.
Leisure Suit Larry: Box Office Bust is the game in most recent memory to piss me off. You have to kill three security guards and then three more that are even harder. After trying about ten times, I always got killed on the second group. I broke out Artmoney to stop the misery. I then got frustated by another area where it was unclear what I was supposed to do. It took me an 30-60 minutes to figure out but I finally got that. Then they last time I got frustrated was against the end guy because of the time limits involved (not so easy to fix with a memory editor). Escape got hit pretty hard a few times during that 6 on 1 battle but nothing broke.