A lot of people talked about the water slums mission in Jak 2. My friends screamed bloody murder of it. I got through...on my first try...with half health. My friends hated me after that lol. Though I guess that doesn't count for this since I had no problems.
Ya, I haven't played many HARD games, though I remember as a kid I felt REALLY accomplished when I beat the Elite 4 on my Pokemon Blue game. Not hard in reality (well, except for Lance since Dragonite was the shit in those days), but I was just a stupid kid back then.
OH OH OH! I know one! The Lion King! Seriously, go online and you'll see so many people that call the game out for being hard and cheap even on it's easier settings. Was sooooo happy when I beat it...at the age of 14. Took me about 7 years but I did it. So many ragequits, so many sleepless nights, but I got through it. And now I can get through it in 45 minutes on medium difficulty with 0-3 deaths. I've beaten it a few times on hard, but it's not a pretty sight.