My experiences:
The last boss of Megaman X4 drove me fucking nuts after I'd learned to beat the rest of the game without dying
Dracula in Castlevania: Circle of the Moon was really hard unless you used the invincibility spell (which I could never get without cheating because that battle arena was difficult in ungodly proportions).
Velius in Final Fantasy Tactics was the most hated boss in all of video gaming for a while after FFT was released.
All the optional Weapons in Final Fantasy 7 and 8 unless you were mad powerful (Knights of the Round in FF7 and Holy Wars to make you invincible in FF8).
I remember getting hosed by Chaos in FF1 but I was a little kid so that may have just been me sucking..
The last dude in MediEvil 2 (the whole last stage, actually) was incredibly tough, again after blazing through the rest of the game.