For tactical difficulty, Baldur's Gate 2: Shadows of Amn. I beat the game itself on normal, moved on to the expansion pack, where I ran into a boss I just couldn't kill. I didn't feel like wasting a whole afternoon on it, so I turned the difficulty down to Easy, beat the boss, moved on - and forgot to turn the difficulty back up. I got to the final boss, she kicked my ass a few times, so I went to turn the difficulty down - and saw that I couldn't. To this day, I haven't beaten that game.
For all-our difficulty, Devil May Cry 3. I have the PC version and no controller, and, even used to the controls as I am, I can't make it past Hard on certain missions, let alone Dante Must Die. It's just so... brutal, and makes me feel like I'm a shitty player.