Between the devil and the deep blue sea

Between the devil and the deep blue sea - you must choose between two unpleasant situations.

Example - "For most people, a visit to the dentist is the result of a choice between the devil and the deep blue sea - if you go, you suffer; if you don't, you suffer"

Image - http://right-now-media.s3-ap-southeast-2.amazonaws.com/wp-content/uploads/2012/06/Between-the-Devil-and-the-Deep-Blue-Sea.jpg