First time I played through FFIX I was stuck on Gizamaluke for ages, but I think that is because I had no idea how equipment worked and what not.
Also FFX I used to get stuck on the Sinspawn Gui and also when you first fight Seymour. I don't know why - both were a piece of piss whenever I played through the game again.
More recently I tried Fallout 3 on Very Hard difficulty. I've managed to complete it now, but I must say, those first few hours after leaving the Vault with minimal weapons and equipment are a *****. Mostly I found myself hitting and running. Also in Mothership Zeta the aliens with the little forcefield things around them were pretty damn solid. It was a case of running and planting Bottlecap mines mostly - occasionally showing my face to try and disarm them...
Apart from that, the rest of the game was surprisingly easy.