"That level in Super Mario Brothers 3, Iced Land (level 5, maybe?) where you have to fly up a narrow tower carrying a shell so you can break through blocks and get to the pipe. To date I have never beaten that level without P-Wings."
I am pretty sure that is World 7-2... yeah, it was pretty frustrating.
Other Frustrations:
SM64 - Not the bullies in Lethal Lava Land themselves, but that one star "Bully the Bullies". Urg, that took me so long to complete that I had 4 out of the 5 other stars there done when I got it... the sixth star is also frustrating.
SMB - The end of World 8-2, where you had to get on one small block at the very edge, start running, and hopefully make it across to the other one so you can jump. I died so many times doing that...