Morrowind, because my older brother was evil. This was back when i was first getting into games, and i had just started to get into Morrowind.
My brother went ahead and put the difficulty to full without me knowing. It became the hardest game in the history of ever... Mudcrabs where a threat for gods sake
For a game which didn't involve evil older brothers, I'd likely go ahead and say Ninja Gaiden, i found that hard. Or perhaps The sims, i say this because of the immense difficulty of trying to stop myself from killing my residents every couple of minutes, I failed to stop myself every single time.