I hate it when they have a section with a really obtuse, specific solution. This happens in some of the stealth bits - where you have to execute things in a VERY specific way, which basically means trial & error by dying to immortal enemies a lot, or accidentally messing up and restarting WAY back at the start of a sequence because there aren't any checkpoints.
The bit boarding the train did that tried distracting guards because it looked like the area across had a portal, but didn't realize til later that I needed to just run BACK and then go all the way forward again as rats.
The hanging on giant minecarts bit was that way - I'd get right up to the end and had to start over because of tedious little errors.
The first part of Carmilla's battle is really obnoxious (chaining a bunch of Chaos hits) because she runs away all the time and if you don't hit her almost non-stop (get knocked down, or hit by a vampire, or can't close back in on her fast enough, or miss a swing or two) NOTHING happens, because the damn shield just resets. I lost that battle almost 3 times before I got past her last stupid ring - although it may be because I haven't put anything into Chaos magic at all. (EDIT: YEAH... probably that, but still)
The sneaking section with Agreus made me want to fucking murder myself. I ended up looking up a run through method, because I got to the switch once, and then proceeded to get caught like 30 times, die, and had to restart. The worst part is that he actually paths towards you, rather than wandering, so you can just sit and hang on a ledge, and he'll never fucking move to an area to allow you to keep sneaking by. If you distract him with the bells and move too early, he'll actually path directly into you most of the time, completely defeating the purpose of using them - not to mention the bell over the starting position means that I brough him right on top of me about half the time I even tried using it. Whoever set up that section should be kicked repeatedly in the nuts until they pass out.
Oh, and this glitch makes it even better, because even USING the ledges, you can agro him just after you jump on (sorry about the shit quality, I recorded it on my phone).
Here's the run through if you need it:
Fuckin' god knows I did.