I've had a few instances of this.

Final Fantasy Legend (SaGa 1): Saving in a spot where the only way out is to kill a boss that I was not strong enough to. (Note that getting lucky doesn't happen because the game's PRNG is awful and not random; at that point I didn't know about RNG manipulation, but I don't know if that would help.)

Ys III: Wanders of Ys: Saving in a spot where an enemy spawns when reloading. This one I actually was able to get out of by pausing and equipping the Shield Ring before the enemy could hurt me (this might have been frame perfect). (By the way, none of this can happen in Oath in Felghana; while it's claimed to be a remake, the gameplay is completely different; OiF lacks the Shield Ring (and the other rings that WoY had), and it also only lets you save in certain spots (while WoY let you save everywhere).

My mother had this happen twice in Final Fantasy Adventure: Once similar to my Ys III example, and again in a puzzle room behind a gate which closes if you save and reload. (Incidentally, its DS remake Sword of Mana is, also completely different, and also only lets you save at specific spots.)

The second example is what happened to me in FFL, made worse by the fact that the game has only one save slot.

Incidentally, the DS remake of the sequel will warn you if you try to save in a place you can't escape to town without a boss fight. Personally, I think that feature isn't really needed in SaGa 2, but would have been *really* appreciated in SaGa 1.

Quicksaving with a Cyberdemon´s rocket before the face. Classic.

Spending 40 turns building a world wonder in civilization, only for another civ to beat you to it one or two turns from completion

When I started playing Darkest Dungeon, I can't explain the pain I felt making the same mistake three time, forgetting to add a healer to my party, which meant I was unable to finish my run. A mistake like that can kill your campaign, due to the wasted money invested in the run. Especially since at the start you lack the funds to offset moronic mistakes.

Even now, having played almost 30 hours, I occasionally experience crushing pain, when I realize that I forgot to equip one of my characters with artifacts, almost guaranteeing the failure of the run.

Playing an long RPG game and realising you fucked up all your choices at the end :D

How about any kind of pain in real life?

I just got a pain in the neck.

Like accidentally getting your nuts caught in a [url=https://en.wikipedia.org/wiki/File:Bear_trap.jpg]bear trap[/url] and then jumping knee-jerk up while that damn trap is still attached to the ground with a short chain?

Coming from someone who had part of a lung removed and spent two days in ICU screaming before they realized the machine giving me my pain meds wasn't actually turned on (true story) the single greatest pain every experienced by me, and there isn't a close second (not even the surgery mishap) was when I was walking down the hall, no shoes, in the middle of the night, and a hit the leg of a Victorian era cast iron bench, right on my left pinky toe. :P

THAT WAS PAIN!!!! XD

I might be able to trump that by a wee bit. Back in primary school we sat on chairs a lot like this one :
https://i.pinimg.com/originals/21/2c/f8/212cf859758c7815633424d39a82774a.jpg
and most boys protested the coming of winter by going to school barefoot deep into winter. The absolute worst was when in the winter you were sitting barefoot behind another student in class, and said student then decided to move his/her chair back to get up, with your toe in the way. Normally the rubber ends would soften the blow of the chair's leg landing right on your foot, with half the student's weight mind you, but more often than not those rubber ends were completely worn through.
I want to go out and buy steel toed boots just thinking about it :P