Some of the simplest loss functions considered in Machine Learning are the square loss, the logistic loss and the hinge loss. The most common family of algorithms, including Gradient Descent (GD) with and without Weight Decay, always predict with a linear combination of the past instances. We give a random construction for sets of examples where the target linear weight vector is trivial to learn but any algorithm from the above family is drastically sub-optimal. Our lower bound on the latter algorithms holds even if the algorithms are enhanced with an arbitrary kernel function. This type of result was known for the square loss. However, we develop new techniques that let us prove such hardness results for any loss function satisfying some minimal requirements on the loss function (including the three listed above). We also show that algorithms that regularize with the squared Euclidean distance are easily confused by random features. Finally, we conclude by discussing related open problems regarding feed forward neural networks. We conjecture that our hardness results hold for any training algorithm that is based on the squared Euclidean distance regularization (i.e. Back-propagation with the Weight Decay heuristic).