Othello says that the worst part of being a cuckold is NOT knowing. Knowing is at least controllable, but not knowing makes it twice the victim. His wife was being quite sneaky in the cheating department, and he could not control the situation because nothing was for certain. However, that phrase can be found in Act III, Scene III (167-170)
I think that the answer you are looking for is that being a cuckold means that Othello's wife, Desdemona, has betrayed him. She was supposed to be only for him -- the woman who would bear his children. But now she has gone and had someone else.
He says that it would have been better if God had treated him like Job -- putting sores all over him and things like that. He even says that he can take it when people point at him and laugh. But he can't deal with the fact that his wife has betrayed him.
According to Othello the worst part of being a cuckold is being in the dark - he did not know what his wife was doing. The not knowing is what Othello thinks is the worst part of being a cuckold.