FF XII
Oblivion elderly scrolls
GTA San Andreas

"The" toughest game i ever played , but finished and loved.

Persona 3 FES.... lol is soooooo loong....

Final Fantasy III and FF Tactics Advance 2. In both cases, the final challenges are just too damn hard. In FFIII's case, there's a point of no return before an impossible final dungeon that surrounds the final boss. Now, if it weren't for the point of no return, i could grind in the final dungeon before the final boss, and leveling would be easy, but otherwise i'm stuck in the dungeon before that if i want to grind, where you get too little exp, so i finally dropped it.

FFTA2's final bosses are just cruel. The first one has a no-cost skill to completely heal herself 100% that she can use at any time (which robs your victory of a sense of triumph, because it really means that she let you win if you win, since she only chooses to use it when she's in trouble, but could use it every turn and make it literally impossible), and you can't save after beating her when you take on this gargantuan monster that has Area-of-Effect attacks.