Annoying the Players

Introduction

Intentionally getting under the players’ skin is generally not good for the game.  Eventually, the frustration with the game object will transfer to the DM.  If you want to use an annoying challenge make sure you know when to quit and be sure to give a hefty payoff for dealing with it.  If done correctly, the reward shows that you believe the players have accomplished something great. Also, be sure to only use this strategy sparingly because repeated use will tire the players and they will give up.

An example:

Suppose the adventurers are repeatedly attacked by a lich (who keeps reviving himself in his lair).  The lich works his wonders by crippling the party when they are fighting otherwise normal monsters. You must quickly make the information for permanently destroying the lich available (or at least provide a method for keeping him away).  Destroying the lich must also be possible soon (especially if keeping him away is not possible); don't allow more than one or two complications.  When the players manage to destroy the lich, they should receive very nice magic items.  Overcoming this challenge will give the players a real sense of accomplishment.  Once it's over, be sure to wait a while before introducing another annoying challenge; give them some time to recover mentally.

Another example:

Using mind controlling monsters in random encounters just to abuse the fighter is mean and the players know it. You can do it once or twice, but, if you don't make effective countermeasures available soon. Also, stopping the mind control assault as soon as the party is ready for them denies them the satisfaction of getting back at the mind controllers---and that's also mean of you.

Conclusion

I generally don't recommend using annoying challenges because they are so likely to backfire.  But, with proper judgment, I'll admit these sorts of challenges can be satisfying.  Just always keep in mind that a game that ceases to be fun for the players ceases to be fun for you.