Costume Quest... pretty much the whole game; it's like a collectaphon in RPG form. When I was trying to construct the unicorn mech (it's a long story) I had spent a good half hour trying to find the sprinkles. I did find it, though.
Unicorn is the best mech in the whole game.
And Left Four Dead, both of the games. I don't know why, but I... always get lost in the maps, and I always have no idea where to go, even if I've played the life out of the maps.
Skyrim is also a big cause of this for me. For a game with as many puzzles as McDonalds has GDA positives, what puzzles there are really stumped me.
There is a locked door, and some thingys on it. So, I read the book; "The answer is in the palm of your hand." So... I unequipped and then looked at my gloves. I did realise it was talking about the Golden Claw eventually, but damn, I felt like an idiot.
Also, Final Fantasy 10-2. Mostly because I realised I was playing Final Fantasy 10-2.