The things that bring the sting:
1. AI settles where you were planning to expand, but botches it so it's not even good city placement, and you have to raze it.
2. AI settles a garbage location inside your empire (like, squeezed between two of your cities in the snow). This one drives me nuts. Looking at you Hiawatha.
3. I'm not so sad when I lose out on a wonder, even by one turn. But the wonders I ignore, the computer NEVER gets, and when I finally decide to build one (because it's down to like 3 turns) I lose out on it. I get mad when I lose out on EVERY wonder I decide to go for, which happens a lot. Screw wonders, I'm building a worker instead.
4. City-states taking up all the good land. This is basically what city-states do. Any useful natural wonder, coastal location, or luxury is owned by a city-state. Plenty of snow left for you, though. Cannot raze city-states, so it's forever a bad city owning good land.
5. Egypt.
6. Barbs spawning and attacking in the same turn. Barbarian horsemen moving, pillaging, then moving, then pillaging again in the same turn. Barbarian galleys that come out of NOWHERE and insta-plunder every cargo ship you ever made. Barbarians spawning on the one tile you didn't look at for half a second. Barbarian island raves, that take forever to clear on archipelago maps. Actually, barbs in general.
7. You finally, finally relent and make a trade route to Assyria, then he DoWs you next turn and you lose it.
8. Seeing the growth notification pop up and realizing I didn't lock tiles and squeeze out that extra hammer. I hate this one the most of all, I only do it to 5 pop but I always hit "next turn" then get a funny feeling, scroll over and see the "1 turn until growth" but I can only watch as the turn cycles and I miss it.