I can't remember the first, i've been gaming for over 20 years, but ill give you some of my more recent.
All the call of duty series on veteran. Cod 3, that bit where you have to sneak up a stream while there are 3 gun nests at the top. one guy always got stuck behind a bush where you couldn't see him but he could always head shot me from anywhere...shit man, that bit took me 3 months to get past ROAR! World at war, that god damn fox hole level where you move anywhere and you die, that really pissed me off. The Benezia fight on mass effect on insanity difficulty...3 hours to beat a boss you can meet after 3 hours of gameplay...really frustrating. Stranglehold on hard boiled...the boss fights were just ridiculous and that part where you have to save the band, sheesh. Ninja gaiden 2 on the hardest setting lol! The visions song on rock band 2...it took me 2 years to actually complete it
The final boss on final fantasy 13 pissed me off so much i didn't go back and finish all the side quests afterwards...it went straight back once he died. The second boss on force unleashed on hardest setting was also just a straight cheating bastard!
Def jam on the ps 2...i actually snapped my pad in half trying to finish the game without losing a fight! Fury!
All this said, when i finally got past all these challenges it was the best feeling ever!