1 - Any Brothers in Arms game, specially Earned in Blood, in hard or avobe (veteran is impossible). You have to use your squad to supress or take out some guys but at the same time the ai will counter attack, also the enemy's aim is far better than in normal and they move back and forth looking for cover. While this isn't that hard, using your team will have only one ending, they die and you have to start all over again. The only way to avoid them dying is to go solo all the way, and even that way they can get killed by a cannon, a tank or mortar fire. There's a level in Earned in blood where you have to take out two Tiger IV tanks at the same time using a panzerfaust, the tanks move quite fast so they can ouflank you or shoot from a distance or act separatelly and one can shoot from far away at you or your men while the other one cruises the level at full speed. The other method for taking them out is throwing a grenade at them AFTER they are severelly damaged, easy, except the tank does reverse and/or turn fast, so you can get squished in any moment. Nice game, I beat it once, deinstalled it and kept the savegames as a reminder.
2 - Super Meat Boy. I'm still stuck at the ending of world 1.
3 - Any racing sim/semi-sim featuring a 24h race, you can do well all the race but at the last lap something will happen.
4 - Forgot the Pokémon games, I rember getting to the end of Pokémon Crystal only to realize that I yet had to level all my team +5 levels or more, it would have been easy if any of the wild pokémons gave mine more than %0.0001 of the total XP needed for each of their levels