In general I don't mind puzzles and riddles in games. That said, I did have one bad experience with a riddle in a game as a player.
I entered the room of a dungeon and a magic mouth told me that I needed to give the next letter in the series: O T T...
I said O, which was incorrect. As a result I lost all items in my character's possession, including all my magic items and even my clothes. This was in a 2E AD&D game and I was about 10th level (starting at 1st level), so I was pretty pissed to lose all my worldly possessions in one go like that.
To make matters worse, the next player entered the room and gave the right answer (F, as it was the first letter of each number, starting at one. So one, two, three, four). All his possessions doubled, so he now had 2 of everything.
Not a problem with the riddle, a problem with the result of getting the incorrect (or even correct) answer.