Most annoying was definitely Fallout 3 on PC.
Yes; shock. A Bethesda game with game breaking bugs. I was less than 30 hours into the game, but just as I was really getting into it, I ran into a crash that was repeatable on two separate PCs (100% crash rate) that effectively stopped me from progressing any further in the game. At that point, I stopped playing.
Runner up would be when my PS3 60GB died as I had a back up archive made, but since I received a different refurb console from SCE, it was useless.
Lesson learned: make manual copies of any game saves you want to keep. Fortunately, I had many of them copied, but I still lost all my progress on games I had stopped playing.
And while this has nothing to do with corrupted game saves or bricked hardware, probably the worst game save loss in terms of hours logged was on Chrono Trigger (the original SNES version). It was my roommate's copy and he saved over my game save. Supposedly there was a way to transfer saves by popping out the cartridge and then saving on a second one, but I never got the chance to try it out.
My boss gave me a new copy of the game from his shelf of unplayed titles over a year later but I never had the heart to go back and rebuild all my stats. Over 100 hours worth I figure.