A dragon attacking Solitude, although the three dragons attacking Falkreath comes a very close second (and that one happened a lot), or even the dragon that usually attacks Riverwood when my character is like level 10.
I hate losing NPC's, so just keep replaying it till I am happy. The Riverwood one the first time I gave up, it was only the first day of playing Skyrim back in November 2011, I was just plain getting too frustrated, so Alvor and his wife stayed dead for being stupid enough to keep getting killed. The next two characters managed to keep them alive, I had more practice by then. But still it was frustrating.
The vampire attacks on towns were no where near as frustrating as those dragons, at least for me.