First one that comes to mind is RE4. I've tried getting into it and restarting at least four times now, but the farthest I've been able to push myself to is at the crossroad between El Gigante and the Chainsaw sisters. The game just starts to become difficult without becoming any funner.
Also, System Shock 2 was fun to play and I saw it all the way through, but I never got into it nearly as much as Bioshock its 'inferior' spiritual successor. I mean, I'm sure SS2 had a really clean interface and interesting encounters during its heyday, but no particular encounter felt as horrifying, shocking, or complex as many situations in Bioshock. Also, lots of people have begrudged Bioshock for giving the player the ability to instantly use any weapon, but this felt alot better than coming across some awesome looking thing in SS2 and realizing: oh wait, first I have to research it, spend a ton of modules to get all my stats and weapon stats up, then find some obscure ammo for it, just to use the dang thing.