I know this'll sound INCREDIBLY weak in comparison to BattleToads (yes, I played it when I was 6, beat the first level, got crushed by the second, and never played it again), but:
CoD4 on Veteran. Some levels I can manage (well, the SAS ones) but I cry at the American ones. TOO MANY FREAKING ARABS.
Trying to counter with the Hidden Blade on Assassin's Creed 1. Granted, countering with the sword would be much easier, but it doesn't guarantee a one=hit kill, so I tend to neglect it. Problem is, the window of opportunity to counter is VERY small, and failing means losing a quarter of your health because your opponents are slashing at you without giving you a chance.
That's it, for now.