I managed to fuck up my save for Just Cause 2. It was partially my fault, so I wasn't quite as pissed off about it as I usually would be, but the game still made it WAY too easy for that to happen. It is a HUGE game too, so to go from a high percentage to a low one is actually a lot of hours pissed up the wall.
I've saved games in stupid places countless times (i.e. in the sort of situations similar to what Riku posted up there). I've also saved them in what I thought were OK places though, only for my characters to "move" when the games load, sending me off an edge, into water, stuck in the wall, etc., which was incredibly annoying.
Various Soul Calibur games, but especially the DC one, had me proper spazzing out. Especially any of those challenges you had to do, where Voldo was the opposition. Intense hatred for that gimp.
I once snapped a Need for Speed 2 PS1 disk. I can't remember if I frisbee'd it against the wall, or if I just bent it until it cracked, either way I did end up touching it though, and I definitely remember the cut it gave me, so ultimately the game still "won" even though it wasn't in the Playstation.
I broke my first Xbox by throwing a controller at it when, in first place, I spun on one of the last corners of the very last (hardest) race of the free Sega GT game I got with the Xbox (which came with JSRF on the same disk. Interestingly, even though I found some of JSRF pretty hard, I never got angry with it) for absolutely no apparent reason, other than the red-mist tinted impression that the game was just cheating and fucking with me 'cos I was in first place in the hard stages of the game . I launched the controller at the console, which must have jarred the HDD, 'cos it was that that got replaced (luckily under warranty). It meant though that I had to play through everything again, 'cos all my saves were on the fucked HDD. Funnily enough, the game tried the exact same trick (first place, last lap, "last" race, same corner, same weirdly easy to start but impossible to catch oversteer) though I managed not to throw the controller the second time.