Haha, for me its almost all fighting games, though SoaSE can certainly crush you if you happen to get your fleet destroyed in a not so brilliant move or a stupid reason outside your control (pirates). But anyways...
All the Soul Caliber games, either on the ridiculously hard challenges or because me and my brother would always get very competitive with it.
DEFCON, when you realize a crap load of nukes are heading your way just when you switched your silos from defensive to launch mode.
And the most aggravating game of them all, minesweeper. You've got two blocks left, ones a mine one is not, and no matter what you do you will always pick the wrong one.