there are a handful of rough spots in the game. Anor Londo, until you know how to fight the large knights, is pretty tough. If you've got it, equip havel's shield, and you should be able to block silver knight attacks.
No matter what anyone says...this game is HARD. When I stopped, I was (no joke) level 573, and I still could get my ass handed to me by basic enemies on the third playthrough if I wasn't careful.