siehe auch hier: http://en.wikipedia.org/wiki/Between_the_Devi...

"Definition: in a tight spot
Synonyms: Catch-22, Hobson's choice, between Scylla and Charybdis, between a rock and a hard place, between the hammer and the anvil, between two fires, cornered, in a dilemma, in a pickle, in a predicament, in the middle, no choice, sitting on a powder keg"

Roget's 21st Century Thesaurus, Third Edition
Copyright © 2009 by the Philip Lief Group.

Just for the record, the phrase is "to be between the devil and the deep blue sea". Another alternative, as mentioned by Reinhard W., is "to be between a rock and a hard place", which I suspect is more common in AE. I don't know whether the devil and the deep blue sea version is even known in AE. AElers to the fore.
I don't think "choice between Scylla and Charybdis is appropriate here since it means being "faced with danger on both sides, so that avoidance of one means exposure to the other".
http://www.chambersharrap.co.uk/chambers/feat...
In any case, it sounds rather elevated/literary.
"Hobson's choice", which is where the link given in #3 leads, is completely inappropriate since it basically means having no choice, rather than having a choice between two equally bad alternatives.

Anne, "between a rock and a hard place" was my first thought. I do, however, also know "between the devil and the deep blue sea" and think that most Americans would as well.

You can also say, "damned if you do and damned if you don't", especially if the choice is between action and inaction.

I wonder why people keep dredging up threads from 5 years ago...

Perhaps because the question was never answered, and some people can't stand that.
Perhaps sheer boredom.
Perhaps a desire to help others who might search the archives for the same information.
There are many possible reasons.

But your question was rhetorical, wasn't it? You didn't really want an answer.

Hm, I wonder why people feel a need to comment on people who keep dredging up threads from 5 years ago... :-)

@Robert--US: Damn!;-) I also thought of "damned if you do and damned if you don't" when reading this thread and then forgot to mention it in this "wrong entry" thread:
related discussion: Hobson's choice - die Wahl zwischen Pest und ...

If you are on the horns of a dilemma, you are faced with two equally unpleasant options and have to choose one. http://www.usingenglish.com/reference/idioms/...

The original dilemma in rhetoric was a device by which you presented your opponent with two alternatives; it didn’t matter which one he chose to respond to — either way he lost the argument. When you did this to your opponent you were said to present two horns to him, as of a bull, on either of which he might be impaled. http://www.worldwidewords.org/qa/qa-hor2.htm

Another possibility: To be on the horns of a dilemma