1) MGS4 on Big Boss Hard. I couldn't beat Act 1.
2) Ninja Gaiden Sigma on ANY difficulty. Even Ninja Dog is unfairly hard.
3) Splinter Cell: Pandora Tomorrow, with Lambert's teleportation ring (you killed a civilian? I'm getting you out of there!), the lack of REAL melee attacks and the fact that 3 alarms meant a game over. Chaos Theory was so much better...