Cobra Command on Sega CD. I made it to near the end of the final level many times, but just couldn't get through it. After a dozen or two times, I just couldn't take it anymore.
I was cursing and screaming in frustration so many times that my mom basically decided I should stop gaming. After I quit that game, I can't recall feeling anywhere near that level of frustration in the 30ish years since.
Thankfully, permadeath games are mostly gone nowadays. I can't take that atuff