Or even created by a normal DM. D&D is exceedingly lethal even without active malice on the part of the DM, it's just more so with it, and more arbitrarily so at that.
A lot of it - especially the latest (as of early 2011) Monster Manual - actually isn't that hard, so long as you have proper pacing and a well balanced team. Which leads to conversations like "What, you wiped with that? The tank shouldn't have been touched, and the healer should have been able to keep the AOE mitigated!" "Yeah except we have three melee damage-dealing guys in hide armor or less, and our 'healer' focused all his skills in attacks with a little control and heals himself first and foremost." "... Ouch."
Dungeon magazine was rather infamous for publishing these, as well. There was one that included a nearly-inescapable room-filling-with-sand trap, the goal for the adventure being impossible to achieve without the (level eight to ten) party members having a wish spell available, and an efreet that literally could not be killed. The only way to even get rid of the efreet involved summoning a 20th-level priest of Set who's been dead and trapped in an amulet for several thousand years, has his full repertoire of combat spells to blast the party with, and is in a really bad mood. Other adventures were even more deadly.
Labyrinth of Madness - not only are the monsters and traps extremely deadly, but to progress past certain points, you need to find magical glyphs, without which certain parts of the dungeon (mainly the entrances to new areas) don't even exist for you. There are twenty in all, and you're pretty much screwed if you miss even one. (To make matters worse, the original printing has a typo that makes one of them impossible to actually get, but honestly, most groups will give up before this actually becomes a problem.)
There was a comic book adaptation of the Labyrinth of Madness. The dwarven fighter was instant-killed off about 3 pages in, turned into a zombie and sent back to attack his friends. Says it all, really.
The Skinsaw Murders, a Pathfinder adventure path installment, is infamous for TPKs. Lots of ghouls, whose paralysis attack can be very cheap and very nasty, a haunted house full of unavoidable "Haunts", one of which forces you to jump out a window, possibly hitting the water some 50 ft below, or run outside into a flock of undead crows. And the final boss encounter... no. Just no.
Arkham Horror is extremely difficult. The randomly drawn opponent Eldritch AbominationBig Bad changes a number of rules, monsters, and often has instant-kill conditions should the game end in a final battle. Strategy and teamwork is mandatory, random events and blind luck will usually ruin your plans, and it's all a Race Against the Clock. Expansions for the game generally exist to make the game ever harder, such as adding The Dragon or The Corruption to the mix. In general, you don't expect to win a given game, completely appropriate to the setting.note This intense difficulty can be avoided by using custom characters. Even if they themselves are not unbalanced, putting them together, each designed for a certain task (i.e. one is made to close and explore gates, another is combat, another is movement, etc), makes the game from something incredibly difficult to relatively easy - even beating the end abominations becomes a fairly simple task.
Friend Computer would like to remind you that only Commie Mutant Traitors would say the Troubleshooters in Paranoia are given six clones because of the stunningly high death rate in Alpha Complex. Complaining about a 2% survival rate at one week is treason. This information is above your clearance level, Citizen; please report to your nearest termination center immediately or wait for your local extermination team. Have a wonderful daycycle!
Betrayal at House on the Hill has many scenarios which are won or lost based on victory conditions. However, before the endgame begins, players have found items, gained and lost stats, and explored the house. End-games range from fair challenges to virtually impossible.
The Deadlands dime novel adventure Night Train is alternately referred to as PC Death Train. A locomotive carrying thirty nosferatu and a zombie conductor (and not one of those relatively easy to beat head shot zombies) will do that. Rumors that its writer John Goff gets a royalty every time running it ends in a Total Party Kill are officially denied, however.
Battlestar Galactica the board game is extremely hard for a traitor game. Often favoring the Cylon rather than the Humans. More often than not the Cylons win.
Unknown Armies opens its chapter on combat rules by advising you not to get into a fight. Do anything to de-escalate the situation. Because fighting in UA? Can be very lethal. The rules are percentage-based and it's easy to flail around without hitting anything if your skills are low. And if someone's skills are high? Damage is calculated by adding together the digits of the successful attack roll (for melee, so a roll of 55 deals 10 damage) or by just taking the attack roll as the damage score (for firearms, so a roll of 55 deals 55 damage). The average person has 50 hit points. You can survive a few good melee hits but just one gunshot could completely ruin you. On top of that, magic is useful but highly situational, averting Linear Warriors, Quadratic Wizards hard.
It is also a somewhat explicit assumption of the setting that the most powerful supernatural abilities typically are difficult to use, dangerous to use, sanity-blasting, grossly immoral or some combination of the above. Thus, your character has to choose between an overall disadvantage in power levels, or risking xe life, mind and soul frequently. And you WILL end up facing serious threats, because the Occult Underground is paranoid, greedy, insane and ill-tempered.