For me, some Paper Mario bosses come to mind, like Bonetail or the Shadow Queen, but I won't get into detail about them. One of my hardest experiences was on Super Smash Bros. Brawl, doing Boss Battles on Intense difficulty, that definitely ranks high. I can honestly say that I never attempted it again after I beat it the first time. But I think what takes the cake for me is either Blaze/Shao Kahn from the Mortal Kombat series, or the cardboard cutout boss from the Creepy Castle level of Donkey Kong 64. That was extremely frustrating for me.