Definitely the MM8 ski stages, particularly Wily 1. So much rage.

Hmm...Guts Man is worth mentioning, but I've gotten better...

Crystal Man always seemed annoying to me. The crystal drops from the ceiling had a really weird pattern. Then the soldiers that fired crystals at you doing lots of damage.

Of recent note till I got more used to it, Nitro Man's level seemed to be a pain. My friend laughed at how many times we died on that one.