Polished Port: The 3DS version of the game is aiming to be this, with this blog post explaining how everything is being reworked to accommodate the new system.
That One Achievement: Death Cam, No Deaths. It's the achievement with the lowest completion rate on Steam, and with good reason. You have to play the entirety of Death Came VHS without dying, which is entirely a frustrating affair due to level being a Marathon Level full of combat. The last two rooms in particular start spamming rocket launcher enemies - a weapon that can kill you in two or three hits - and the last one is a room that's on fire, vastly limiting the room you have to navigate to avoid said traps. It doesn't help that you're not allowed to bring weapons in, either.
Unwinnable by Insanity: In stage 2 of Final Castle, it's possible to trap yourself by killing the entire Bomb Squad and using up all of your bazooka shots. With nothing to blow up the walls and nothing to kill you, your only option is to save your game and start the whole stage over again.