Once, that game being Call of Cthulhu: Dark Corners of the Earth.
It was a part quite early on in the game, before you get any weapons, where you're in your hotel room at night and the townspeople are coming to get you.
You had to fumble and put the screws back into the lock on the door, then push a wardrobe in front of it, and then somehow escape the mob.
I never figured out how to escape from the mob (after climbing out of the window and back into another room) and because the sense of dread and impending doom was so well implemented (partly because it was a horrific set piece from The Shadow over Innsmouth, one of my favourite Lovecraft stories), I could only manage a few retries before I decided to play a lighter game or go out to the pub... that particular sense of failure was a lot more unpleasant than most.
Shortly after that my computer died, the hard disc failed, but because I'd borrowed the disc from a friend and played it from the hard drive I couldn't reinstall it and conquer my fears. I see that it's available on Steam, so I could have another bash at it, but I keep coming up with excuses not to...