Lemmings on the Gameboy. Wasted hours upon hours when I was about 11 trying to get through Mayhem level 4. It was bugged such that the lemmings would fall through a solid platform on a spider web type section and fall to their deaths.
Having recently checked this out, it was limited to the PAL release. I also recently checked out magazine reviews from the time, none of which mentioned this quite important piece of information to their customers. Dicks.
Jet Set Willy on the C64 was another. You jumped further in one direction (right vs left) than the other, meaning one or two rooms were impossible.