Experiments not working, or giving unexpected results. Other members in the group not pulling their weight, another uni is doing the same research as you. The list goes on.
Beeing scooped with your results, favouritism in the lab, beeing told by your supervisor that they could pay you after your funding has stopped but they don't want to.
disinterested supervisors - feeling like you're, no, BEING in it completely on your own. It's a big responsibility and v. stressful. Also lack of money, NO results, nasty colleagues...
From an arts student perspective, what Im finding most disheartening sometimes is the more you research, the more people you find talking about your area! Being at the bottom of the food chain and trying to make your mark and say something new can be intimidating and disheartening.