The Tax Man- the Internal Revenue Service has the power to seize bank accounts and property, levy fines and in general make your life a living hell. No agency should have so much power.
The Department of Motor Vehicles - staffed with bureaucrats imported from the fifth ring of Hell, waiting on line at the DMV is akin to an eternity amid the fire and brimstone of Damnation.
It's a Small World - Devised by the most deranged minds at Disney, this is truly one of the horrors of the modern world. I was once trapped on this ride for 10 minutes and was afforded a brief yet vivid glimpse of Hell (imagine the unrelenting horror of children singing that song ("Its a world of laughter, a world of tears...") over and over and over.)
Opening up my 401K Statement - These days few horrors compare to the utter gut-wrenching feeling of opening the mail box and finding my latest 401k Statement. Opening the envelope should definitely be accompanied by shrieking violins a la the shower scene in Psycho.