Technically not the fault of the games themselves (Or it might be, if they have input delay), but sometimes I SWEAR I DID in fact, press X before getting hit, and I still die. I am not even asking for a Deathbomb, I was fast enough for a regular bomb (As in, the bullet did not even hit me), but meh.
EoSD is a big offender of this. Then again I have heard its Deathbomb period is extremely small.
Also another, more legit complaint:
Having to re-do Stage 1 every single time you screw up your run at some point after Stage 3. Its annoying as hell, especially if you get impatient and die to some early stage that's normally easy to do, making you restart the whole thing again, in turn making you even more impatient, and it just a downhill spiral from there...
That's probably why I tend to play for about an hour an half when attempting runs (more than that and I tend to switch games. EXTRA stages are excepted from this rule and I can tolerate them way more, for some reason), so I don't end up going crazy seeing the stupid Stage 1 again.