Let's see...
10. hitting all bad endings one after another in 999.
9. UT3's forced way of cramming a "story" in an online-oriented FPS. More specifically the pickup line "they're not flags; they're Field LAtency Generators" when the characters somehow want to make you believe you're fighting a war, even though you're really playing capture the flag.
8. somewhat similar: its ending. After wrecking havoc and destroying half of a planet, you're suddenly surrounded after the final boss fight. And it can only be because some guy betrayed you for no reason whatsoever.
7. eye of the beholder, the legend of temple darkmoon. You encounter a prisoner pretty early in the game, who joins your party. Unfortunately, the first time you rest after that, he runs off with everything you give him. Result: totally restart the game as I failed to save beforehand.
6. kinda similar: not having enough savegames in commando's 1. Saved one second before a guy got discovered -> had to play the whole level anew.
5. when one of (or thé) last boss in final fantasy 7 or 8 simply destroys you in one hit because she took all your stuff and you didn't spend enough time with that stupid card minigame thingy.
4. starcraft 2 not allowing you to singleplayer when your internet is down (I hope that is fixed by now, but I fear the opposite).
3. Bulletstorm. The final boss (or pretty much the ONLY boss) is a stupid series of quick time events
2. Unreal 2 has nothing to do with Unreal. Nothing
1. UT3's interface. Horrible, unintuitive, unfinished, and worst of all: not even a half-decent way to search for a server (I could only bump into my own clanmates on accident).
Hmm...when reading other people's opinions, I see I could have mentioned non-game specific things as well. I could probably come up with such a list as well, but those are mostly gaming trends rather than moments.