I can honestly say I am with you...Metropocalypse said:World of Warcraft.
As for console games:
8-Eyes (NES) - anyone that has ever been to the end of this game will know exactly what I mean.
FFVII - and by finish, I mean do everything you can possibly do in the game.
Bionic Commando (NES) - An already hard game made even harder by a super hard final shot to beat it.
Castlevania 2 (NES) - This was back before the age of strategy guides.
and finally, I didn't beat it, but my brother did and may be the only person ever...
Marble Madness (NES) - They don't make 'em like that anymore.