Any game where you have to lose a fight to progress the story. I like the Disgaea games, but can't help but hate the fact that I have to throw fights in order to progress the plot.
That can be done in a good way or bad way. If it is just a fight that starts and cannot be won it has to be over quickly. Maybe have the fightscene start and the main villain one hit KO's everyone. At least then it won't be a long and painful experience and it does the job of showing that the villain is just so much better than the hero.
EXAMPLE: The player is some 10 year old brat who has just seen his parents murdered by the BBEG and picks up his/her fathers sword and challenges the villain. 10 second fight and later he wakes up being treated by some old guy who becomes his mentor and helps him/her through the tutorials (which can be skipped,) Insert themontage of hero growing up and you have a decent (if cliche) start of an adventure rpg.
Or if it is dragged out fight the objective should be something other than winning.
EXAMPLE: A pretty good one is one of the Lich king fights in WoW. The players finally reach the Lich king and try to defeat him but it turns out that they are utterly outmatched and instead spend the rest of the fight running away. I like the whole idea of that fight as it shows that the villain is really powerful but the players can "win" as they fight their way through the lesser mooks and escape from the BBEG.
EXAMPLE B: The base of the heroes is attacked by a superiour enemy force and they must fight their way out and evade capture. Again, this would either be near the start of the game and the next part would be rebuilding the forces of the heroes (maybe this is the point where the player takes command of the ragtag bunch) or it would be near the end and the next part would be the final desperate push at the enemies main fortress.