Shadow of the Colossus, first time round on PS2. I was about 13, and had no sort of logical thought process. Holy SHIT the fourth colossus took me an inordinate amount of time to work out. With the benefit of retrospect and sex-o-vision HD graphics on PS3, I appreciate it a lot more.
Any game without autosaves. God of War, Sims, Dragon Quest, Dead Rising etc. They've all crashed on me and I've lost hours of playtime because I forget to manually save, doubly ironic in the quicksave age where all I end up doing in games is spamming quicksave prior to every fight (Dead Rising 2, particularly)
Borderlands, I'm playing it through for the second time and I'm up to the Secret Armory on playthrough 2. The enemies are scaled fucking absymally for one thing, so unless I'm ploughing through in co-op (which thanks to Sky's hideous connection speeds, I assure you I will not be) I essentially have to sit and grind until I'm overlevelled.
Also, whoever came up with FUCKING CHEMICAL CRIMSON LANCE NEEDS TO BE FIRED SO HARD THEY CAN'T SIT DOWN FOR WEEKS.