My main one is probably Fossil Roo on FFIX. I still end up doing something wrong, so annoying.

Another one I don't like is getting the Key underwater on FFVII. Not the getting the key part, it's just that Emerald Weapon scares the hell out of me, and if it's swimming about I hate it.

Also on XII, the Sandsea. It seems to go on forever, and if you are under prepared, then it can be pretty tough.