Well, I've had a few things that just screwed me up.
The first was when I first visited the City of Skulls on Hey, Not Too Rough. I'm still new to playing, but I thought 'This is the furthest I've gotten so far, this shouldn't be too bad.' Well, when you get swarmed, I didn't know what to do. I first thought of the BFG 9000 I got at the Halls of Carnage but then assumed the splash damage would kill me. I then thought my Trigun would do the trick since on the wiki, it said I nuke the level and only lose 5 HP permanently. Well, what it neglected to tell me is that it was a nuke regardless of a scant 5 hp and killed me anyway. I then consulted the wiki again and learned that trick about the BFG, then held my face for a bit.
The second time was, again, the City of Skulls. Having learned since last time, I thought I could do it again but I realized the missile launcher isn't the best for up close fighting, neither is the Acid Launcher. Long story short, I did eventually beat that level with 1 % left, and got a Blood Skull. I thought it would make me berserk and help recoup the pain I endured of almost dying. I went down the stairs and I'm surrounded by acid, and there's an Arachnoid just sitting there. I know he spotted me, and I only have seconds to figure out what weapon to use...But like Han, he shot first...
I neglected to include my first encounter breaking open The Wall...Eeesh, at least I died quick.