The "RELOAD!" sound, which you will be hearing very often due to the huge number of mooks and the bullets needed to put one down. And you'll probably be hearing it right before you hear the player damaged sound, since the delay is enough for most enemies to get a shot in on you.
Raw Thrills actually delayed the game's release after the PC/console game's bad reception, so they could do it right. It was a good decision.
That One Attack: The attacks used by the Harvester in the final encounter with it. The reason being that you don't get much time to interrupt them, and worst of all, the first one it uses is a One-Hit Kill even at full health.
That One Level: Mission 2-2, "Blockbuster". It's the level with the most cheap shots in the game, where there are several instances even a good player will take damage due to needing to manage several enemies at once, and is nearly impossible to beat in one credit because of this.