So many NES shmups would fall into this category for me. I love the things, but MAN do they test the limits of my patience. But, as a result, they are also the most satisfying to beat. Off the top of my head, the ones that just piss me off the most:
Sky Shark
Star Force
Image Fight (that third boss...Christ I hate that thing)
Adventures of Dino Riki (though I have managed to finish this one, thanks to egregious abuse of the continue code)
Zanac