Pure knight endings, no question about it. The only consolation about it is that my opponent will probably screw up as well, hopefully before I do.
Which Engame Gives You Grief?
Queen vs queen endings (with pawns on both sides). I miscalculate alot in this ending, blunder a few pawns.

I also dont like queen endings, except when I'm the only one who has one....
I struggle with NvB too, often.

Knight + pawns vs. rook + pawns. So difficult to convert the material advantage into a win, and so easy to overlook a fork.
tonydal: generally I find knight endgames in blitz pretty hard. Just so easy to overlook their hopping. Generally I'm damn shoddy at blitz (hanging pieces willynilly or not taking hanging pieces) but in endgames I can play well technically and score many a win that way. Except for knight endgames, where usually I play some nice moves and then miss a knight fork and my pawn is gone and all the good work is screwed.
I think Q+Ps vs Q+Ps (and also esp. Q+P vs Q) endings are extremely hard. It's interesting to read Reuben Fine's masterpiece, it's interesting that only really on these sorts of endings have his general principles been shown not to be necessarily true by tablebases (and looking at the ridiculous sequences of moves that the tablebase carries out, this is no surprise).
The more majors on the board the more I suffer: B, N and B V N are fine, R is nasty, Q is awful, 2R is confusing and Q+R makes me insane in just a few moves.

I have mentioned rooks before as my frustration. They "seem" like such simple straightforward pieces. The are best placed on open files, on the seventh rank, and behind passed pawns; 3 mutually exclusive and practically contraditory themes. If you get one to the 7th and take your oponent's pawns, the rook winds up in front of and blocking your hard won passed pawn. One is "suppose" to memorize things like Philidor positions and other tedium.
Well put, Escapest_Pawn. I've never thought of it that way. I used to live in Montana, my dad was Air Force. Gorgeous country but too cold for me. Rook
endings do seem to be simple but that is an illusion. Paul Mitchell makes a fine
hair care product, by the way, but I guess you''ve heard that joke before.
You don't really need to memorize the Philidor though, just remember
to put your rook on the third rank from the bottom as defense.
For me, king and pawn endgames are nightmares. Knight and pawn endgames frustrate me as well.
Here is an example of an endgame that would have led to a win for me. My opponent resigned at the point that this sequence starts, but here is what would have taken place if the game had gone on.
Here's an endgame that I find quite bothersome. This wasn't from an actual game and won't likely be an actual game sequence but you get the idea.
I tried the 2 bishops and king vs. king in the Chess Mentor. It was a brain scrambler for me. I don't remember my exact score but I'm sure it was terrible.
Here is an example of an endgame that would have led to a win for me. My opponent resigned at the point that this sequence starts, but here is what would have taken place if the game had gone on.
I wouldn't call that a fair endgame. Black is up by 2 pawns and a bishop--he can fall asleep and still win that. I think the OP is asking for endgames where the result is uncertain and requires careful play.
The R+K vs K example is also pretty unfair, lol. Whoever has the extra rook will obviously win that easily.

Well put, Escapest_Pawn. I've never thought of it that way. I used to live in Montana, my dad was Air Force. Gorgeous country but too cold for me. Rook
endings do seem to be simple but that is an illusion. Paul Mitchell makes a fine
hair care product, by the way, but I guess you''ve heard that joke before.
You don't really need to memorize the Philidor though, just remember
to put your rook on the third rank from the bottom as defense.
Thank you for compliment and advice. The Lucena (I keep forgetting the name) is the other one. With that, one remembers the 4th rank. The trouble is, there are variations. If you "memorize" only best play, an inferior player (one who has memorized nothing) might beat you. Understanding these things (the only way to go) is a bit tedious.
Another more general rook problem is that they can be lousy at stopping pawns, especially advanced and connected ones. Bishops can be far better. Of course, a rook can support an advancing pawn far better than a bishop.
Weaponking, think about your 1st rook problem. Your mate in 3 has a big blunder for black, 2...Rh8??? 2...Rh6 clearly keeps it going. It is really a slightly clever mate in 2 problem. Assuming you are a beginner, try to find it.
Otherwise, 1Rg1 is the safe way to procede in that general type of position. then your king just follows his king towards the corner until he runs out. There must be a zillion lessons on this here and elsewhere.
While we're on the theme, here's a mate in 4 problem for the basic R vs K mate - see if you can find it first time - there is only one solution.
Knight + pawns vs. rook + pawns. So difficult to convert the material advantage into a win, and so easy to overlook a fork.
Yes, that is where I usually offer draw too...

Thanks Marvellosity and I can't say I saw it all before I started moving, so I sort of failed, even though I played correctly. I saw several mates in 5, and guessed the 1st move correctly just because it seemed the more interesting even though I felt it would fail, (before starting I had the wrong 3rd move in mind), and only saw it after the 2nd move. Good straight forward little lesson puzzle.
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In an earlier forum we discussed which opening gives you grief. Now let's
review the endgames that haunt our dreams and cost us so many games we know
we should have won.
For me it has to be the simple two rooks versus two rooks with just pawns. For some reason the other guy always ends up getting to my pawns before I can
get to his. Then he trades off at least one rook and I'm done. I can't tell you
how many live chess games I have lost this way.
Is there an endgame situation that frustrates you the most?