The 2 stories I can think of off the top of my head are:
Playing the Metroid Prime remaster for the first time, for the record I've never been great at metroid, I don't know why but the exploration always feels so obtuse to me, So, I'm slowly but surely making my way through the first main level, I find a save point and go about my way for a solid hour. I got some new gear, explored some new rooms, etc. The game is clearly gearing me up for a boss battle at this point and I'm presented with 2 doors I take one of them and Bam Im starting the boss fight. I'm like oh fuck I thought this was gonna be the save room then the boss fight would start. Of course not, I get pretty close to beating the boss and die. Load up and I'm back where I was an hour earlier, now I need to go get all the equipment again and re-explore rooms. I was fucking pissed. Like why the hell is there not an auto save before the boss, I get it, it's metroid, Auto save isn't really a thing but for fucks sake there is nothing fun about having to redo an hours worth of progress in a game just because I went through the wrong door. I set the game down and haven't gone back since lol.
The first time I played through Mother 1 I didnt realize the rom I had was the version that contained the anti piracy checkpoints. So you get to a certain point in the game, I think it's the last town and you go to meet Teddy, and I get hit with an anti piracy screen that won't let me progress. Well, I'm about 4 or 5 days into playing the game and I'm sure as hell not about to give up. So I skip adding Teddy to my party and continue on with the game thinking I'll be fine. Let it be known that Mother 1 is not exactly an easy game, it is very much of its time in terms of difficulty, grindiness, and fickleness. Here I am scrambling through Mt Itoi just barely scraping by, I make it to the tombstone that initiates the final boss and the Anti Piracy screen pops up and stops me dead in my tracks. Once again I was pissed, I felt so betrayed since I was RIGHT there about to beat the game.
Needless to say I accepted my defeat, downloaded the correct rom, and managed to brute force my way through the game in a day getting all the way to the end again and finally beating Gigue. But I tell you I can remember the feeling of my stomach sinking seeing that screen and realizing I was gonna have to replay the who damn game. It's funny to look back on but man was I angry at the time.