1. The Great Hollow - this requires no explanation as to this place is just awful.
2. The Duke's Archives - any place that you can die easily from archers is just the worst.
3. Hellkite Bridge - even by the end of NG, when I thought I was the king of Lordran that Red Dragon Bastard roasted me like a marshmallow.
4. Capra Demon - I know this isn't a place and I know that few will agree with me, but this boss has given me more trouble than any other, ever. I've read the strategies and watched videos but it manages to kill me or put my weapon at risk every time. I suspect that everyone has some boss that for whatever reason is kind of a pain.
Sorry for the long post. Just venting.