The final few levels of Halo: CE on Legendary were brutal, just brutal. Halo 2 had a few, although I do not recall any as difficult as the first. What was so mind numbingly frustrating was if your mate died, you restarted at the last check point.
Legend of Dragoon, while not a difficult game by any means is an exceptionally dirty one. The game provides little indication for when you ought to conclude side quests and experience is so low, they are nearly mandatory unless you have the epic armor. For first timers, you could literally force yourself into a day long grind fest because the game's default story did not provide enough experience for you to be capable of defeating the final boss. Oh and the real kicker? If you purchased the strategy, it ironically made the game worse for this due to horrid errors or revealing areas/items far later than it should have.
Final Fantasy XII, I swear, simply hated you. Random treasure chests, bosses with millions of hit points and horrendously gimmick attacks, the accursed Zodiac Spear debacle. Honestly it was as though Square sought vengeance on us for something and do not get me started on FFXI. That game was so mind numbingly difficult, you had to follow specifically laid out strategies in a group or you were dead. Game was far too hard to solo after the beginning, you could never outrun anything, monsters did obscene amount of damage and the list goes on. Easily one of the most annoying games I have ever played.