FFVII - My first ever JRPG, had no idea how equipping armor or swords workd, I litterally when through 65% of the game using the first weapon you get the buster sword. It was a big trial and error for me at the time but I eventually got it beat after 4 playthoughs. Several holes appeared in my wall before this though.
Sonic - Yeh the first one, I downloaded it on the PSN last year and it was incredibly difficult to beat, not to mention the trophies were near impossible.
Demon's Souls, Dark Souls - These two games for obvious reasons, there fucking made to kill you over and over.
Ninja Gaiden Sigma - I couldn't get past a quarter of this game no matter how hard I tried.