These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Perhaps the most unexpectedly deadly enemy in video-game history (barring the carp): Frogs. Completely unpredictable jump patterns and timing, inexplicable ability to predict your next movement, and quick vertical movements that make them difficult to take down with the whip. You will die by frog at some point.
Last but not least: Angry Shopkeepers. They're fast, unpredictable, and their shotguns will tear through your already-low HP. The safest bet against them? Don't piss them off in the first place by buying their wares and not attacking them. Unless getting a high score by saving money is that important to you...
Game Breaker: Getting a jetpack greatly improves your chances of survival. If you can get a shotgun on top of that...
Then there's the Scepter which fires instant kill projectiles that chase enemies and go through walls. Unfortunately, you can't break the game with that indefinitely.
Playing as the Tunnel Man in the original lets you use his mattock, which never breaks. You can tear through terrain to your heart's content without having to resort to explosives. The trade-off? You can't attack in midair with it, you start with no ropes or bombs, and he has half the default HP than the other characters.
Goddamned Bats: Almost every enemy in the game. There's goddamned spiders, goddamned yetis, goddamned cavemen, goddamned frogs, and so on. Bats themselves are quite slow and predictable, but because they spawn hanging from ceilings they can be just as annoying due to their attacking from above.
Good Bad Bug: In the original, normally an enemy would eventually stop bleeding if you smacked its body around enough. This was not the case if you happened to throw the body onto spikes, where the body would gush blood indefinitely as long as you kept impaling it. Combine this bit of knowledge with the Kapala and you've got a source of infinite hit points, provided you don't impale yourself on said spikes and that the Ghost isn't breathing down your neck (unless you happen to have the Hedjet).
Hell Is That Noise: When you hear the music slow down and distort, you know it's time to get out before the Ghost comes.
Nightmare Fuel: Spelunky often punishes you for attempting to rush through levels without caution, so naturally, you would think to keep a steady pace, slowly disabling all the traps ahead of you. Everything seems to be going fine... until the music slows down and distorts, and you receive the message "A chill runs down your spine! Let's get out of here!" By that time, this is likely what you're doing. Dawdle around more or take too long trying to find the exit, and the ghost suddenly appears. If it's not enough that it has a tortured, agonized facial expression,◊ it constantly homes in on you, flies through any solid object, and instantly kills you on contact. And when it finally does you in, your body turns to bone and withers away immediately. Also doubles as Paranoia Fuel.
In the remakes, dying while in multiplayer mode turns your character into a little ghost... with the same sort of distorted and agonized expression.
The ghost will also appear if you pick up the Crystal Skull on a Restless Dead level, although the music only distorts when a ghost spawns normally. Best way to avoid having two ghosts after you? Just blow up the platform underneath the Skull and go on your way. What's that? You don't have any bombs? Oh, dear...
Giant Spiders are also incredibly traumatizing. They're absolutely immense in size, easily double the horizontal size of the player. They wait along the ceiling, sometimes out of sight of the player, and when their prey happens upon the area beneath them, they drop down from the ceiling, which, since you're at level 1, with hardly any Hit Points to spare, you're going to be annihilated. It does 2 hearts of damage, jumps all over the place, and never stops chasing you once provoked. Arachnophobes will have a field day with this thing.