I don't think I could possibly pick one from any game ever, but in response to the Mega Man posts I've seen...
Does anyone remember Sigma from X4? Yeah, it was kind of his trademark to have to kill him at least twice, but holy $#!% he was a whole new reason to cry in this one. The first stage you could do without getting hit if you were good. The second stage I don't care if you played this game eight hours every day, you would get hit and probably have to use one of your sub-tanks. Then on the third stage you have to fight two even harder forms of him simultaneously. I swear the guys at Capcom were laughing their asses off when they programmed this one...
BTW, I'm talking about playing as Zero, not X.