I'm with HW, I generally find bosses annoying but here are 5 I've encountered that have left lasting impressions:
1. Tyrant, Resident Evil. In a game that was equal parts frustrating and awesome, this final boss encapsulated both qualities. I lost count of the number of times I had to reload my saved game to defeat this boss...
2. Revolver Ocelot, Metal Gear Solid. Memorable more for his name than the actual fight. Liquid Snake was actually a pretty tough fight though...
3. Sephiroth, Final Fantasy 7. Possibly the best villain in video game history, and I reckon defeating this final boss was a fight that felt like it lasted at least an hour. Anyone who hasn't played FF7 really, really should.
4. Pyramid Head, Silent Hill 2. Not actually a boss as you don't have to kill him, but possibly the most disturbing thing in all of video game history. And he recurs on several psychologically traumatising occasions.
5. Atlas/Frank Fontaine, Bioshock. Not the most difficult boss to beat, but when you encounter him you just want to defeat him after the bastard had misled you, betrayed you and used you throughout the entire game. Would you kindly fuck off and die...